Prof. Dr. Peter N Posch

Peter N. Posch is professor of finance at the technical university of Dortmund, Germany and director of the Centre of Finance, Risk and Resource Management (FiRRM).Previously he served as co-Head of credit treasury at a top-5 bank where he traded for the proprietary book and was responsible for the active management of the group’s credit risk.
His research focuses on financial innovation and data analysis. He publishes in internationally recognized journals and has co-authored a bestselling book on credit risk published in second edition by Wiley Finance.He holds a PhD in Finance on the dynamics of credit risk, a work recognized with the Reuters Innovation award. He studied quantitative economics, philosophy and law at the University of Bonn.
Peter is a frequent speaker on international conference, trainer for several companies and conducts consultancy projects for financial institutions and corporates.

Research

2018

Köchling, Gerrit; Müller, Janis; Posch, Peter N

Do institutional investors improve the efficiency of Bitcoin? Working Paper

2018.

Abstract | BibTeX

Posch, Peter N; Schmidtke, Philipp; et al.,

Using the Extremal Index for Value-At-Risk Backtesting Working Paper

2018.

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Posch, Peter N; Ullmann, Daniel; et al.,

Detecting structural changes in large portfolios Journal Article Forthcoming

Empirical Economics, Forthcoming.

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Müller, Janis; Posch, Peter N

How does stochastic volatility influence asset prices? – A parameter-free approach Working Paper

2018.

BibTeX

Müller, Janis; Posch, Peter N

Consumption volatility ambiguity and risk premium's time-variation Working Paper

2018.

BibTeX

Müller, Janis; Posch, Peter N

Wrong-way-risk in tails Journal Article

Journal of Asset Management, 2018, ISSN: 1479-179X.

Abstract | Links | BibTeX

2017

Paraskevopoulos, Timotheos; Posch, Peter N

Time-frequency linkages and co-movements between the euro and European stock market: A continuous wavelet analysis. Journal Article

2017.

Abstract | Links | BibTeX

Lübbers, Johannes; Posch, Peter N

Are agriculture markets driven by investors’ allocation? Evidence from the co-movement of commodity prices Working Paper

2017.

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Paraskevopoulos, Timotheos; Posch, Peter N

A hybrid forecasting algorithm based on SVRs and Wavelets Decompositions Journal Article Forthcoming

Quantitative Finance and Economics, Forthcoming.

Abstract | Links | BibTeX

Köchling, Gerrit; Posch, Peter N

How does hedge accounting influence firm value? Working Paper

2017.

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Lübbers, Johannes; Posch, Peter N; et al.,

Bail-in and asset encumbrance - Implications for banks' asset liability management Journal Article

Journal of Banking Regulation, 18 (2), pp. 149–162, 2017, ISSN: 1750-2071.

Abstract | Links | BibTeX

Köchling, Gerrit; Posch, Peter N; et al.,

Do firms hedge in order to avoid financial distress costs? A theoretical approach with empirical evidence for German corporates Working Paper

2017.

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Posch, Peter N; Ullmann, Daniel; et al.,

Income distribution in troubled times: Disadvantage and dispersion dynamics in Europe 2005–2013 Journal Article

Finance Research Letters, 2017, ISSN: 1544-6123.

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2016

Lübbers, Johannes; Posch, Peter N

Commodities' common factor: An empirical assessment of the markets' drivers Journal Article

Journal of Commodity Markets, 4 (1), pp. 28 - 40, 2016, ISSN: 2405-8513.

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Posch, Peter N; et al.,

Does central clearing benefit risky dealers? Journal Article

Journal of International Financial Markets, Institutions and Money, 42 (Supplement C), pp. 91 - 100, 2016, ISSN: 1042-4431.

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2015

Posch, Peter N; et al.,

The impact of commodity finance on resource availability Journal Article

Applied Economics Letters, 22 (7), pp. 525-528, 2015.

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2014

Posch, Peter N; et al.,

Data smoothing and end correction using entropic kernel compression Journal Article

Stat, 3 (1), pp. 250–257, 2014, ISSN: 2049-1573.

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Posch, Peter N; et al.,

Value-based assessment of sovereign risk Journal Article

Qualitative Research in Financial Markets, 6 (2), pp. 157-172, 2014.

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2013

Posch, Peter N

Benford or Not-Benford? How to test for the First-Digit Law Journal Article

JP Journal of Fundamental and Applied Statistics, 4 (Issues 1 & 2), pp. 1-22, 2013.

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Posch, Peter N; et al.,

In Contango Versus Backwardation, the Truth May Not be in Convenience: Disequilibrium States and the Spot-Forward Balance in Commodity Markets Journal Article

Procedia Computer Science, 17 (Supplement C), pp. 266 - 273, 2013, ISSN: 1877-0509, (First International Conference on Information Technology and Quantitative Management).

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Posch, Peter N; et al.,

Cross-Market Valuation with Full Information on the Company’s Capital Structure Journal Article

Journal of Mathematical Finance, 3 (3A), 2013.

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Posch, Peter N; et al.,

Managing and trading sovereign risk using credit derivatives and government markets Journal Article

The Journal of Risk Finance, 14 (5), pp. 453-467, 2013.

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Posch, Peter N; et al.,

Sovereign asset values and implications for the credit market Journal Article

Review of Financial Economics, 22 (2), pp. 53 - 60, 2013, ISSN: 1058-3300.

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Posch, Peter N; et al.,

Wall Street’s bailout bet: Market reactions to house price releases in the presence of bailout expectations Journal Article

Journal of Banking & Finance, 37 (12), pp. 5147 - 5158, 2013, ISSN: 0378-4266.

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2011

Posch, Peter N; et al.,

The bonus pool, mark to market and free cash flow: producer surplus and its vesting in the financial markets Journal Article

Applied Financial Economics, 21 (24), pp. 1843-1857, 2011.

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Posch, Peter N

Time to change. Rating changes and policy implications Journal Article

Journal of Economic Behavior & Organization, 80 (3), pp. 641 - 656, 2011, ISSN: 0167-2681.

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2010

Posch, Peter N; et al.,

Quality Signalling and Ratings Credibility: Regulatory Reform for the Ratings Industry Journal Article

2010.

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2008

Posch, Peter N

A survey on sequences and distribution functions satisfying the first-digit-law Journal Article

Journal of Statistics and Management Systems, 11 (1), pp. 1-19, 2008.

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2007

Posch, Peter N; et al.,

How do Rating Agencies Score in Predicting Firm Performance Book

Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2007.

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2006

Posch, Peter N; et al.,

Analysing digits for portfolio formation and index tracking Journal Article

Journal of Asset Management, 7 (1), pp. 69–80, 2006, ISSN: 1479-179X.

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