Prof. Dr. Peter N Posch

Director of FiRRM
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

2020

Köchling, Gerrit; Posch, Peter N; Hahnenstein, Lutz

Do Firms Hedge in Order to Avoid Financial Distress Costs? New empirical evidence using bank data Journal Article

Journal of Business Finance & Accounting , 2020.

Abstract | Links | BibTeX

Posch, Peter N; Bücher, Axel; Schmidtke, Philipp

Using the Extremal Index for Value-At-Risk Backtesting Journal Article

Journal of Financial Econometrics, 2020.

Abstract | Links | BibTeX

Engelhardt, Nils; Neukirchen, Daniel; Krause, Miguel; Posch, Peter N

What Drives Stocks during the Corona-Crash? News Attention vs. Rational Expectation Journal Article

Sustainability , 12 (12), 2020.

Abstract | Links | BibTeX

Krämer, Walter; Posch, Peter N

Partial Orderings of Default Predictions Book Chapter

Springer, 2020.

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Köchling, Gerrit; Schmidtke, Philipp; Posch, Peter N

Volatility forecasting accuracy for Bitcoin Journal Article

Economics Letters, 2020.

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2019

Kranz, Sebastian; Löffler, Gunter; Posch, Peter N

Predatory Short Sales and Bailouts Journal Article

German Economic Review, 20 (4), pp. e469-e491, 2019.

Abstract | Links | BibTeX

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

Does the Introduction of Futures Improve the Efficiency of Bitcoin? Journal Article

Finance Research Letters, 30 , pp. 367-370, 2019.

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Müller, Janis; Posch, Peter N

Consumption volatility ambiguity and risk premium’s time-variation Journal Article

Finance Research Letters, 29 , pp. 336-339, 2019, ISSN: 1544-6123.

Abstract | Links | BibTeX

Rafeld, Hagen; Fritz-Morgenthal, Sebastian G; Posch, Peter N

Whale Watching on the Trading Floor: Unravelling Collusive Rogue Trading in Banks Journal Article

Journal of Business Ethics, pp. 1-25, 2019.

Abstract | Links | BibTeX

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

Price delay and market frictions in cryptocurrency markets Journal Article

Economics Letters, 174 , pp. 39 - 41, 2019, ISSN: 0165-1765.

Abstract | Links | BibTeX

2018

Kunsteller, Sebastian; Müller, Janis; Posch, Peter N

Do illiquid stocks jump more frequently? Journal Article

Applied Economics, 51 (25), pp. 2764-2769, 2018.

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Bergmann, Alexander; Posch, Peter N

Mandatory Sustainability Reporting in Germany: Does Size Matter? Journal Article

Sustainability, 2018.

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Müller, Janis; Posch, Peter N

Wrong-way-risk in tails Journal Article

Journal of Asset Management, 19 (4), pp. 205–215, 2018, ISSN: 1479-179X.

Abstract | Links | BibTeX

Posch, Peter N; Ullmann, Daniel; Wied, Dominik

Detecting structural changes in large portfolios Journal Article

Empirical Economics, 2018.

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Müller, Janis; Posch, Peter N

How does stochastic volatility influence asset prices? – A parameter-free approach Journal Article

2018.

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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 Journal Article

2017.

Abstract | Links | BibTeX

Paraskevopoulos, Timotheos; Posch, Peter N

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

Quantitative Finance and Economics, 2017.

Abstract | Links | BibTeX

Köchling, Gerrit; Posch, Peter N

How does hedge accounting influence firm value? Journal Article

2017.

Abstract | Links | BibTeX

Lübbers, Johannes; Posch, Peter N; Erhardt, Joachim

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

Posch, Peter N; Ullmann, Daniel; Bowden, Roger J

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

Posch, Peter N; Ullmann, Daniel; Bowden, Roger J

Asymmetry and performance metrics for equity returns Journal Article

2016.

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Mayordomo, Sergio; Posch, Peter N

Does central clearing benefit risky dealers? Journal Article

Journal of International Financial Markets, Institutions and Money, 42 , pp. 91-100, 2016.

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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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Mayordomo, Sergio; Posch, Peter N

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; Erhardt, Joachim; Hard, Tarek

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; Bowden, Roger J; Bläsche, Thomas

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; Kalteier, Eva Maria; Molt, Stephan; Nguyen, Tristan

Value-based assessment of sovereign risk Journal Article

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

Abstract | Links | BibTeX

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.

Abstract | Links | BibTeX

Posch, Peter N; Pollege, Samuel

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

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

Abstract | Links | BibTeX

Posch, Peter N; Kalteier, Eva Maria

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; Löffler, Gunter

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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Posch, Peter N; Heider, Pascal

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

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

Abstract | Links | BibTeX

Posch, Peter N; Bowden, Roger J

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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2011

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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Posch, Peter N; Bowden, Roger J

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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2010

Posch, Peter N; Bowden, Roger J

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; Löffler, Gunter

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; Kreiner, Welf A

Analysing digits for portfolio formation and index tracking Journal Article

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

Links | BibTeX