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.
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
2021 |
Köchling, Gerrit; Swade, Alexander; Posch, Peter N Managerial behavior in fund tournaments—the impact of TrueSkill Journal Article Journal of Asset management, 2021. @article{Köchling2021c, title = {Managerial behavior in fund tournaments—the impact of TrueSkill}, author = {Gerrit Köchling and Alexander Swade and Peter N Posch }, url = {https://doi.org/10.1057/s41260-020-00198-7}, year = {2021}, date = {2021-01-09}, journal = {Journal of Asset management}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
2020 |
Engelhardt, Nils; Krause, Miguel; Neukirchen, Daniel; Posch, Peter N Trust and stock market volatility during the COVID-19 crisis Journal Article Finance Research Letters, In Press , 2020, ISSN: 1544-6123. @article{ENGELHARDT2020101873, title = {Trust and stock market volatility during the COVID-19 crisis}, author = {Nils Engelhardt and Miguel Krause and Daniel Neukirchen and Peter N Posch }, doi = {10.1016/j.frl.2020.101873}, issn = {1544-6123}, year = {2020}, date = {2020-12-01}, journal = {Finance Research Letters}, volume = {In Press}, abstract = {We investigate if trust affects global stock market volatility during the COVID-19 pandemic. Using a sample of 47 national stock markets, we find the stock markets’ volatility to be significantly lower in high-trust countries (in reaction to COVID-19 case announcements). Both trust in fellow citizens as well as in the countries’ governments are of significant importance.}, keywords = {}, pubstate = {published}, tppubtype = {article} } We investigate if trust affects global stock market volatility during the COVID-19 pandemic. Using a sample of 47 national stock markets, we find the stock markets’ volatility to be significantly lower in high-trust countries (in reaction to COVID-19 case announcements). Both trust in fellow citizens as well as in the countries’ governments are of significant importance. |
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. @article{GKWP20172, title = {Do Firms Hedge in Order to Avoid Financial Distress Costs? New empirical evidence using bank data}, author = {Gerrit Köchling and Peter N Posch and Lutz Hahnenstein }, url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/jbfa.12489}, year = {2020}, date = {2020-08-11}, journal = {Journal of Business Finance & Accounting }, abstract = {Utilizing the Merton (1974) framework we introduce a model for a firm’s optimal hedge ratio. This ratio results from trading off ex-ante expected financial distress costs (FDC) which are determined by an all-or-nothing put option in a static capital structure model. We continue to test our theoretical findings in an empirical setting. We obtain data for 185 SMEs’ hedging activity with a major bank on a single-contract level as well as their Basel II default probabilities and historical accounting information. We demonstrate our model’s ability to explain observed cross-sectional differences in the hedge ratio. Hereby we provide strong empirical evidence that German firms hedge in response to financial distress costs incentives.}, keywords = {}, pubstate = {published}, tppubtype = {article} } Utilizing the Merton (1974) framework we introduce a model for a firm’s optimal hedge ratio. This ratio results from trading off ex-ante expected financial distress costs (FDC) which are determined by an all-or-nothing put option in a static capital structure model. We continue to test our theoretical findings in an empirical setting. We obtain data for 185 SMEs’ hedging activity with a major bank on a single-contract level as well as their Basel II default probabilities and historical accounting information. We demonstrate our model’s ability to explain observed cross-sectional differences in the hedge ratio. Hereby we provide strong empirical evidence that German firms hedge in response to financial distress costs incentives. |
Posch, Peter N; Bücher, Axel; Schmidtke, Philipp Using the Extremal Index for Value-At-Risk Backtesting Journal Article Journal of Financial Econometrics, 2020. @article{Posch2020, title = {Using the Extremal Index for Value-At-Risk Backtesting}, author = {Peter N Posch and Axel Bücher and Philipp Schmidtke }, url = {https://academic.oup.com/jfec/article/doi/10.1093/jjfinec/nbaa011/5870400?guestAccessKey=f595840c-1491-4b6a-a306-5148d5fd2a3f}, year = {2020}, date = {2020-07-12}, journal = {Journal of Financial Econometrics}, abstract = {We introduce a set of new Value-at-Risk independence backtests by establishing a connection between the independence property of Value-at-Risk forecasts and the extremal index, a general measure of extremal clustering of stationary sequences. For this purpose, we introduce a sequence of relative excess returns whose extremal index is to be estimated. We compare our backtest to both popular and recent competitors using Monte Carlo simulations and find considerable power in many scenarios. In an applied section, we perform realistic out-of-sample forecasts with common forecasting models and discuss advantages and pitfalls of our approach.}, keywords = {}, pubstate = {published}, tppubtype = {article} } We introduce a set of new Value-at-Risk independence backtests by establishing a connection between the independence property of Value-at-Risk forecasts and the extremal index, a general measure of extremal clustering of stationary sequences. For this purpose, we introduce a sequence of relative excess returns whose extremal index is to be estimated. We compare our backtest to both popular and recent competitors using Monte Carlo simulations and find considerable power in many scenarios. In an applied section, we perform realistic out-of-sample forecasts with common forecasting models and discuss advantages and pitfalls of our approach. |
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. @article{Engelhardt2020, title = {What Drives Stocks during the Corona-Crash? News Attention vs. Rational Expectation}, author = {Nils Engelhardt and Daniel Neukirchen and Miguel Krause and Peter N Posch}, url = {https://www.mdpi.com/2071-1050/12/12/5014}, year = {2020}, date = {2020-06-19}, journal = {Sustainability }, volume = {12}, number = {12}, abstract = {We explore if the corona-crash 2020 was driven by news attention or rational expectations about the pandemic’s economic impact. Using a sample of 64 national stock markets covering 94% of the world’s GDP, we find the stock markets’ decline to be mainly associated with higher news attention and less with rational expectation. We estimate the economic cost from the news hype to amount to USD 3.5 trillion for the US and USD 200 billion on average for the rest of the G8 countries.}, keywords = {}, pubstate = {published}, tppubtype = {article} } We explore if the corona-crash 2020 was driven by news attention or rational expectations about the pandemic’s economic impact. Using a sample of 64 national stock markets covering 94% of the world’s GDP, we find the stock markets’ decline to be mainly associated with higher news attention and less with rational expectation. We estimate the economic cost from the news hype to amount to USD 3.5 trillion for the US and USD 200 billion on average for the rest of the G8 countries. |
Krämer, Walter; Posch, Peter N Partial Orderings of Default Predictions Book Chapter Springer, 2020. @inbook{Krämer2020, title = {Partial Orderings of Default Predictions}, author = {Walter Krämer and Peter N Posch}, url = {https://link.springer.com/chapter/10.1007/978-3-030-25147-5_12}, year = {2020}, date = {2020-06-12}, publisher = {Springer}, abstract = {We compare and generalize various partial orderings of probability forecasters according to the quality of their predictions. It appears that the calibration requirement is quite at odds with the possibility of some such ordering. However, if the requirements of calibration and identical sets of debtors are relaxed, comparability obtains more easily. Taking default predictions in the credit rating industry as an example, we show for a database of 5333 (Moody’s) and 6505 10-year default predictions (S&P), that Moody’s and S&P cannot be ordered neither according to their grade distributions given default nor non-default or to their Gini- curves, but Moody’s dominate S&P with respect to the ROC-criterion.}, keywords = {}, pubstate = {published}, tppubtype = {inbook} } We compare and generalize various partial orderings of probability forecasters according to the quality of their predictions. It appears that the calibration requirement is quite at odds with the possibility of some such ordering. However, if the requirements of calibration and identical sets of debtors are relaxed, comparability obtains more easily. Taking default predictions in the credit rating industry as an example, we show for a database of 5333 (Moody’s) and 6505 10-year default predictions (S&P), that Moody’s and S&P cannot be ordered neither according to their grade distributions given default nor non-default or to their Gini- curves, but Moody’s dominate S&P with respect to the ROC-criterion. |
Köchling, Gerrit; Schmidtke, Philipp; Posch, Peter N Volatility forecasting accuracy for Bitcoin Journal Article Economics Letters, 2020. @article{Köchling2019b, title = {Volatility forecasting accuracy for Bitcoin }, author = {Gerrit Köchling and Philipp Schmidtke and Peter N Posch }, url = {https://www.sciencedirect.com/science/article/pii/S0165176519304239?dgcid=author}, year = {2020}, date = {2020-06-01}, journal = {Economics Letters}, abstract = {We analyse the quality of Bitcoin volatility forecasting of GARCH-type models applying the commonly used volatility proxy based on squared daily returns as well as a jump-robust proxy based on intra-day returns and vary the degrees of asymmetry in robust loss functions. We construct model confidence sets (MCS) which contain superior models with a high probability and find them to be systematically smaller for asymmetric loss functions and the jump robust proxy. Our findings suggest a cautious use of GARCH models in forecasting Bitcoin’s volatility. }, keywords = {}, pubstate = {published}, tppubtype = {article} } We analyse the quality of Bitcoin volatility forecasting of GARCH-type models applying the commonly used volatility proxy based on squared daily returns as well as a jump-robust proxy based on intra-day returns and vary the degrees of asymmetry in robust loss functions. We construct model confidence sets (MCS) which contain superior models with a high probability and find them to be systematically smaller for asymmetric loss functions and the jump robust proxy. Our findings suggest a cautious use of GARCH models in forecasting Bitcoin’s volatility. |
2019 |
Kranz, Sebastian; Löffler, Gunter; Posch, Peter N Predatory Short Sales and Bailouts Journal Article German Economic Review, 20 (4), pp. e469-e491, 2019. @article{Kranz2019, title = {Predatory Short Sales and Bailouts}, author = {Sebastian Kranz and Gunter Löffler and Peter N Posch}, url = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/geer.12173?casa_token=efIU8MJ8ur4AAAAA:dkGui0Cs_vIQmp9LAEqt_x5DLqQGWMLMorrE7gaFZrbFwXe-FDXz34j18sxZfTu02kUXqqGuiDw0dQ}, year = {2019}, date = {2019-12-07}, journal = {German Economic Review}, volume = {20}, number = {4}, pages = {e469-e491}, abstract = {This paper extends the literature on predatory short selling and bailouts through a joint analysis of the two. We consider a model with informed short sales, as well as uninformed predatory short sales, which can trigger the inefficient liquidation of a firm. We obtain several novel results: A government commitment to bail out insolvent firms with positive probability can increase welfare because it selectively deters predatory short selling without hampering desirable informed short sales. Contrasting a common view, bailouts can be optimal ex ante but undesirable ex post . Furthermore, bailouts in our model are a better policy tool than short selling restrictions. Welfare gains from the bailout policy are unevenly distributed: shareholders gain while taxpayers lose. Bailout taxes allow ex ante Pareto improvements.}, keywords = {}, pubstate = {published}, tppubtype = {article} } This paper extends the literature on predatory short selling and bailouts through a joint analysis of the two. We consider a model with informed short sales, as well as uninformed predatory short sales, which can trigger the inefficient liquidation of a firm. We obtain several novel results: A government commitment to bail out insolvent firms with positive probability can increase welfare because it selectively deters predatory short selling without hampering desirable informed short sales. Contrasting a common view, bailouts can be optimal ex ante but undesirable ex post . Furthermore, bailouts in our model are a better policy tool than short selling restrictions. Welfare gains from the bailout policy are unevenly distributed: shareholders gain while taxpayers lose. Bailout taxes allow ex ante Pareto improvements. |
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. @article{GJP2016, title = {Does the Introduction of Futures Improve the Efficiency of Bitcoin?}, author = {Gerrit Köchling and Janis Müller and Peter N Posch}, url = {https://doi.org/10.1016/j.frl.2018.11.006}, year = {2019}, date = {2019-09-01}, journal = {Finance Research Letters}, volume = {30}, pages = {367-370}, abstract = {Following up recent studies on the inefficiency of Bitcoin, we test the informational efficiency of Bitcoin before and after the launch of Bitcoin futures. Futures allow easier market access for institutional investors who improve price efficiency according to studies for the stock market. Regarding the period before the launch, our results are consistent with recent findings. From the involvement of institutional traders onwards, however, we cannot reject the informational efficiency hypothesis for any of our applied tests.}, keywords = {}, pubstate = {published}, tppubtype = {article} } Following up recent studies on the inefficiency of Bitcoin, we test the informational efficiency of Bitcoin before and after the launch of Bitcoin futures. Futures allow easier market access for institutional investors who improve price efficiency according to studies for the stock market. Regarding the period before the launch, our results are consistent with recent findings. From the involvement of institutional traders onwards, however, we cannot reject the informational efficiency hypothesis for any of our applied tests. |
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. @article{MULLER2018c, title = {Consumption volatility ambiguity and risk premium’s time-variation}, author = {Janis Müller and Peter N Posch}, url = {https://www.sciencedirect.com/science/article/abs/pii/S1544612318301922?via%3Dihub}, doi = {10.1016/j.frl.2018.08.016}, issn = {1544-6123}, year = {2019}, date = {2019-06-01}, journal = {Finance Research Letters}, volume = {29}, pages = {336-339}, abstract = {In a consumption based asset pricing model one can calculate the volatility of (log-)consumption growth from the expected market return and from the risk-free rate. We propose to use the difference between these estimates to measure ambiguity about consumption volatility. Using a long dataset we show this measure explains up to 69% of post-war variation in the market risk premium.}, keywords = {}, pubstate = {published}, tppubtype = {article} } In a consumption based asset pricing model one can calculate the volatility of (log-)consumption growth from the expected market return and from the risk-free rate. We propose to use the difference between these estimates to measure ambiguity about consumption volatility. Using a long dataset we show this measure explains up to 69% of post-war variation in the market risk premium. |
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. @article{Rafeld2019, title = {Whale Watching on the Trading Floor: Unravelling Collusive Rogue Trading in Banks}, author = {Hagen Rafeld and Sebastian G Fritz-Morgenthal and Peter N Posch}, url = {https://link.springer.com/article/10.1007/s10551-018-4096-7 http://dx.doi.org/10.17877/DE290R-19916}, doi = {10.1007/s10551-018-4096-7}, year = {2019}, date = {2019-01-03}, journal = {Journal of Business Ethics}, pages = {1-25}, abstract = {Recent history reveals a series of rogue traders, jeopardizing their employers’ assets and reputation. There have been instances of unauthorized acting in concert between traders, their supervisors and/or firms’ decision makers and executives, resulting in collusive rogue trading. We explore organizational misbehaviour theory and explain three major collusive rogue trading events at National Australia Bank, JPMorgan with its London Whale and the interest reference rate manipulation/LIBOR scandal through a descriptive model of organizational/structural, individual and group forces. Our model draws conclusions on how banks can set up behavioural risk management and internal control frameworks to mitigate potential collusive rogue trading.}, keywords = {}, pubstate = {published}, tppubtype = {article} } Recent history reveals a series of rogue traders, jeopardizing their employers’ assets and reputation. There have been instances of unauthorized acting in concert between traders, their supervisors and/or firms’ decision makers and executives, resulting in collusive rogue trading. We explore organizational misbehaviour theory and explain three major collusive rogue trading events at National Australia Bank, JPMorgan with its London Whale and the interest reference rate manipulation/LIBOR scandal through a descriptive model of organizational/structural, individual and group forces. Our model draws conclusions on how banks can set up behavioural risk management and internal control frameworks to mitigate potential collusive rogue trading. |
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. @article{KOCHLING201939, title = {Price delay and market frictions in cryptocurrency markets}, author = {Gerrit Köchling and Janis Müller and Peter N Posch}, url = {https://www.sciencedirect.com/science/article/pii/S0165176518304361}, doi = {10.1016/j.econlet.2018.10.025}, issn = {0165-1765}, year = {2019}, date = {2019-01-01}, journal = {Economics Letters}, volume = {174}, pages = {39 - 41}, abstract = {We study the efficiency of cryptocurrencies by measuring the price’s reaction time to unexpected relevant information. We find the average price delay to significantly decrease during the last three years. For the cross-section of 75 cryptocurrencies we find delays to be highly correlated with liquidity.}, keywords = {}, pubstate = {published}, tppubtype = {article} } We study the efficiency of cryptocurrencies by measuring the price’s reaction time to unexpected relevant information. We find the average price delay to significantly decrease during the last three years. For the cross-section of 75 cryptocurrencies we find delays to be highly correlated with liquidity. |
2018 |
Kunsteller, Sebastian; Müller, Janis; Posch, Peter N Do illiquid stocks jump more frequently? Journal Article Applied Economics, 51 (25), pp. 2764-2769, 2018. @article{Kunsteller2018, title = {Do illiquid stocks jump more frequently?}, author = {Sebastian Kunsteller and Janis Müller and Peter N Posch }, url = {https://www.tandfonline.com/doi/abs/10.1080/00036846.2018.1558357}, year = {2018}, date = {2018-12-20}, journal = {Applied Economics}, volume = {51}, number = {25}, pages = {2764-2769}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
Bergmann, Alexander; Posch, Peter N Mandatory Sustainability Reporting in Germany: Does Size Matter? Journal Article Sustainability, 2018. @article{BERGMANNPOSCH2018, title = {Mandatory Sustainability Reporting in Germany: Does Size Matter?}, author = {Alexander Bergmann and Peter N Posch }, url = {https://www.mdpi.com/2071-1050/10/11/3904}, doi = {10.3390/su10113904}, year = {2018}, date = {2018-10-26}, journal = {Sustainability}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{Müller2018b, title = {Wrong-way-risk in tails}, author = {Janis Müller and Peter N Posch}, url = {https://link.springer.com/article/10.1057%2Fs41260-018-0076-9}, doi = {10.1057/s41260-018-0076-9}, issn = {1479-179X}, year = {2018}, date = {2018-07-01}, journal = {Journal of Asset Management}, volume = {19}, number = {4}, pages = {205--215}, abstract = {With new regulations like the credit valuation adjustment, the assessment of wrong-way-risk is of utter importance. We analyse the effect of a counterparty's credit risk and its influence on other asset classes (equity, currency, commodity and interest rate) in the event of extreme market movements like the counterparty's default. With an extreme value approach, we model the tail of the joint distribution of different asset returns belonging to the above asset classes and counterparty credit risk indicated by changes in CDS spreads and calculate the effect on the expected shortfall when conditioning on counterparty credit risk. We find the conditional expected shortfall to be 2 to 440% higher than the unconditional expected shortfall depending on the asset class. Our results give insights both for risk management and for setting an initial margin for non-centrally cleared derivatives which becomes mandatory in the European Market Infrastructure Regulation.}, keywords = {}, pubstate = {published}, tppubtype = {article} } With new regulations like the credit valuation adjustment, the assessment of wrong-way-risk is of utter importance. We analyse the effect of a counterparty's credit risk and its influence on other asset classes (equity, currency, commodity and interest rate) in the event of extreme market movements like the counterparty's default. With an extreme value approach, we model the tail of the joint distribution of different asset returns belonging to the above asset classes and counterparty credit risk indicated by changes in CDS spreads and calculate the effect on the expected shortfall when conditioning on counterparty credit risk. We find the conditional expected shortfall to be 2 to 440% higher than the unconditional expected shortfall depending on the asset class. Our results give insights both for risk management and for setting an initial margin for non-centrally cleared derivatives which becomes mandatory in the European Market Infrastructure Regulation. |
Posch, Peter N; Ullmann, Daniel; Wied, Dominik Detecting structural changes in large portfolios Journal Article Empirical Economics, 2018. @article{ullmann2018, title = {Detecting structural changes in large portfolios}, author = {Peter N Posch and Daniel Ullmann and Dominik Wied}, doi = {10.1007/s00181-017-1392-5}, year = {2018}, date = {2018-01-26}, journal = {Empirical Economics}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
Müller, Janis; Posch, Peter N How does stochastic volatility influence asset prices? – A parameter-free approach Journal Article 2018. @article{JM20181, title = {How does stochastic volatility influence asset prices? – A parameter-free approach}, author = {Janis Müller and Peter N Posch}, url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3130008}, doi = {10.2139/ssrn.3130008}, year = {2018}, date = {2018-01-01}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{tppnpcomovement, title = {Time-frequency linkages and co-movements between the euro and European stock market: A continuous wavelet analysis.}, author = {Timotheos Paraskevopoulos and Peter N Posch}, url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2979416}, year = {2017}, date = {2017-09-29}, abstract = {We investigate the evolution of co-movement and lead-lag relationships between the nominal effective European exchange rate and the largest European stock markets in the time and frequency dimension. We decompose the financial return series into different time scales and apply the cross-wavelet coherence and phase difference. Within our sample set, which consists of daily data from 2000 to 2016, we observe patterns consistent with the notion of contagion, suggesting strong and sudden increases in the cross-market synchronization on very specific frequency bands. Investigating the lead-lag relationships between both markets, we observe periods and frequencies where the causality runs from one variable to the other and vice-versa. }, keywords = {}, pubstate = {published}, tppubtype = {article} } We investigate the evolution of co-movement and lead-lag relationships between the nominal effective European exchange rate and the largest European stock markets in the time and frequency dimension. We decompose the financial return series into different time scales and apply the cross-wavelet coherence and phase difference. Within our sample set, which consists of daily data from 2000 to 2016, we observe patterns consistent with the notion of contagion, suggesting strong and sudden increases in the cross-market synchronization on very specific frequency bands. Investigating the lead-lag relationships between both markets, we observe periods and frequencies where the causality runs from one variable to the other and vice-versa. |
Lübbers, Johannes; Posch, Peter N Are agriculture markets driven by investors’ allocation? Evidence from the co-movement of commodity prices Journal Article 2017. @article{JLWP20172, title = {Are agriculture markets driven by investors’ allocation? Evidence from the co-movement of commodity prices}, author = {Johannes Lübbers and Peter N Posch}, url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2888887}, year = {2017}, date = {2017-08-01}, abstract = {We examine the effect of financial investments on the futures market of seventeen agriculture commodities during 2006-16. Introducing a financialization index we show that financial investors significantly affect the variation in the co-movement of these commodities. We find even stronger evidence that a higher relative share of commodity index traders increases the correlation between individual commodity prices. Our analysis indicates that in order to avoid financial interests affecting agriculture markets the relative share of commodity index traders’ long open interest should not be significantly higher than 28%. Changes in the intensity of financial speculation thus have a non-negligible influence on agriculture commodity markets. }, keywords = {}, pubstate = {published}, tppubtype = {article} } We examine the effect of financial investments on the futures market of seventeen agriculture commodities during 2006-16. Introducing a financialization index we show that financial investors significantly affect the variation in the co-movement of these commodities. We find even stronger evidence that a higher relative share of commodity index traders increases the correlation between individual commodity prices. Our analysis indicates that in order to avoid financial interests affecting agriculture markets the relative share of commodity index traders’ long open interest should not be significantly higher than 28%. Changes in the intensity of financial speculation thus have a non-negligible influence on agriculture commodity markets. |
Paraskevopoulos, Timotheos; Posch, Peter N A hybrid forecasting algorithm based on SVRs and Wavelets Decompositions Journal Article Quantitative Finance and Economics, 2017. @article{tppnpsvrwavelet, title = {A hybrid forecasting algorithm based on SVRs and Wavelets Decompositions}, author = {Timotheos Paraskevopoulos and Peter N Posch }, url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3199925}, year = {2017}, date = {2017-05-17}, journal = {Quantitative Finance and Economics}, abstract = {We present a forecasting algorithm based on support vector regression emphasizing the practical benefits of wavelets for financial time series. We utilize an effective de-noising algorithm based on wavelets feasible under the assumption that a systematic pattern plus random noise generate the data. The learning algorithm focuses solely on the decomposed time series components, leading to a more general approach. Our findings propose how machine learning can be used for data science applications in combination with signal processing methods. Applying the algorithm to real life financial data, we find wavelet decompositions to improve forecasting performance significantly. }, keywords = {}, pubstate = {published}, tppubtype = {article} } We present a forecasting algorithm based on support vector regression emphasizing the practical benefits of wavelets for financial time series. We utilize an effective de-noising algorithm based on wavelets feasible under the assumption that a systematic pattern plus random noise generate the data. The learning algorithm focuses solely on the decomposed time series components, leading to a more general approach. Our findings propose how machine learning can be used for data science applications in combination with signal processing methods. Applying the algorithm to real life financial data, we find wavelet decompositions to improve forecasting performance significantly. |
Köchling, Gerrit; Posch, Peter N How does hedge accounting influence firm value? Journal Article 2017. @article{GKWP2017, title = {How does hedge accounting influence firm value?}, author = {Gerrit Köchling and Peter N Posch}, url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3128333}, year = {2017}, date = {2017-01-01}, abstract = {We study the relation between hedge accounting and firm value. We propose an easily replicable procedure to generate a dataset directly from company’s annual reports. Using our algorithm we are able to classify, for the first time, firms into cash flow, fair value, or foreign net investment hedge accounting. Our approach allows us to give an overview of hedge accounting use over industries and time. We find significantly positive effects of fair value and foreign net investment hedges on firm value. However cash flow hedge accounting, which makes up the majority of observations, appears to have no substantial influence.}, keywords = {}, pubstate = {published}, tppubtype = {article} } We study the relation between hedge accounting and firm value. We propose an easily replicable procedure to generate a dataset directly from company’s annual reports. Using our algorithm we are able to classify, for the first time, firms into cash flow, fair value, or foreign net investment hedge accounting. Our approach allows us to give an overview of hedge accounting use over industries and time. We find significantly positive effects of fair value and foreign net investment hedges on firm value. However cash flow hedge accounting, which makes up the majority of observations, appears to have no substantial influence. |
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. @article{Erhardt2017, title = {Bail-in and asset encumbrance - Implications for banks' asset liability management}, author = {Johannes Lübbers and Peter N Posch and Joachim Erhardt}, url = {https://doi.org/10.1057/jbr.2016.4}, doi = {10.1057/jbr.2016.4}, issn = {1750-2071}, year = {2017}, date = {2017-01-01}, journal = {Journal of Banking Regulation}, volume = {18}, number = {2}, pages = {149--162}, abstract = {In response to the financial crisis the European Union proposes bail-ins as a new regulatory instrument. For banks this mechanism affects the funding costs that now depend on the amount of assets under encumbrance. The bank's optimal level of asset encumbrance, however, is not necessarily optimal for its senior unsecured investors. In a new simulation framework, we access the effects of the bail-in regulation and the effect on the costs of banks and investors. Analyzing major EU banks' funding structure we find funding cost should be up to 49 basis points higher to reflect the increased risk for senior unsecured investors. On the other hand all banks of our sample could lower their overall cost level by up to 17 basis points by increasing the level of asset encumbrance.}, keywords = {}, pubstate = {published}, tppubtype = {article} } In response to the financial crisis the European Union proposes bail-ins as a new regulatory instrument. For banks this mechanism affects the funding costs that now depend on the amount of assets under encumbrance. The bank's optimal level of asset encumbrance, however, is not necessarily optimal for its senior unsecured investors. In a new simulation framework, we access the effects of the bail-in regulation and the effect on the costs of banks and investors. Analyzing major EU banks' funding structure we find funding cost should be up to 49 basis points higher to reflect the increased risk for senior unsecured investors. On the other hand all banks of our sample could lower their overall cost level by up to 17 basis points by increasing the level of asset encumbrance. |
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. @article{BOWDEN2017, title = {Income distribution in troubled times: Disadvantage and dispersion dynamics in Europe 2005–2013}, author = {Peter N Posch and Daniel Ullmann and Roger J Bowden}, url = {http://www.sciencedirect.com/science/article/pii/S1544612317302933}, doi = {10.1016/j.frl.2017.10.003}, issn = {1544-6123}, year = {2017}, date = {2017-01-01}, journal = {Finance Research Letters}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
2016 |
Posch, Peter N; Ullmann, Daniel; Bowden, Roger J Asymmetry and performance metrics for equity returns Journal Article 2016. @article{ullmann2016, title = {Asymmetry and performance metrics for equity returns}, author = {Peter N Posch and Daniel Ullmann and Roger J Bowden }, editor = {SFB Discussion Paper 26/2016}, url = {https://www.researchgate.net/publication/303790244_Asymmetry_and_performance_metrics_for_equity_returns}, year = {2016}, date = {2016-06-02}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{Posch2016, title = {Does central clearing benefit risky dealers?}, author = {Sergio Mayordomo and Peter N Posch}, url = {https://www.sciencedirect.com/science/article/abs/pii/S1042443116300026#}, year = {2016}, date = {2016-05-01}, journal = {Journal of International Financial Markets, Institutions and Money}, volume = {42}, pages = {91-100}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{LUBBERS201628, title = {Commodities' common factor: An empirical assessment of the markets' drivers}, author = {Johannes Lübbers and Peter N Posch}, url = {http://www.sciencedirect.com/science/article/pii/S2405851316300381}, doi = {10.1016/j.jcomm.2016.10.002}, issn = {2405-8513}, year = {2016}, date = {2016-01-01}, journal = {Journal of Commodity Markets}, volume = {4}, number = {1}, pages = {28 - 40}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{MAYORDOMO201691, title = {Does central clearing benefit risky dealers?}, author = {Sergio Mayordomo and Peter N Posch}, url = {http://www.sciencedirect.com/science/article/pii/S1042443116300026}, doi = {10.1016/j.intfin.2016.02.002}, issn = {1042-4431}, year = {2016}, date = {2016-01-01}, journal = {Journal of International Financial Markets, Institutions and Money}, volume = {42}, number = {Supplement C}, pages = {91 - 100}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{doi:10.1080/13504851.2014.955166, title = {The impact of commodity finance on resource availability}, author = {Peter N Posch and Joachim Erhardt and Tarek Hard}, doi = {10.1080/13504851.2014.955166}, year = {2015}, date = {2015-01-01}, journal = {Applied Economics Letters}, volume = {22}, number = {7}, pages = {525-528}, publisher = {Routledge}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{STA4:STA459, title = {Data smoothing and end correction using entropic kernel compression}, author = {Peter N Posch and Roger J Bowden and Thomas Bläsche }, url = {http://dx.doi.org/10.1002/sta4.59}, doi = {10.1002/sta4.59}, issn = {2049-1573}, year = {2014}, date = {2014-01-01}, journal = {Stat}, volume = {3}, number = {1}, pages = {250--257}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{doi:10.1108/QRFM-12-2012-0033, title = {Value-based assessment of sovereign risk}, author = {Peter N Posch and Eva Maria Kalteier and Stephan Molt and Tristan Nguyen }, url = {https://doi.org/10.1108/QRFM-12-2012-0033}, doi = {10.1108/QRFM-12-2012-0033}, year = {2014}, date = {2014-01-01}, journal = {Qualitative Research in Financial Markets}, volume = {6}, number = {2}, pages = {157-172}, abstract = {Purpose – The purpose of this paper is to introduce a methodology to evaluate sovereign risk. Hereby, a value-based approach using different market measures is introduced. Design/methodology/approach – This study’s approach aims to provide a value-based assessment of sovereign risk, combining market measures from government bond, credit derivatives and other markets as well as economic indicators. Findings – The study finds that the assessment of sovereign risk is only possible when using information from different markets and adjusting according to the information included in these measures. Combining both market-based and economic information leads to a value-based evaluation of sovereign risk. Practical implications – The practical implications are given for any institution with sovereign risk on their asset side. In fact, part of this research was done for the German Actuarial Foundation which uses the recommendations of this paper for the insurance industry. Originality/value – The study’s approach is novel because it is the first to include several market-based and economic measures of a sovereign and combines it into a value-based assessment.}, keywords = {}, pubstate = {published}, tppubtype = {article} } Purpose – The purpose of this paper is to introduce a methodology to evaluate sovereign risk. Hereby, a value-based approach using different market measures is introduced. Design/methodology/approach – This study’s approach aims to provide a value-based assessment of sovereign risk, combining market measures from government bond, credit derivatives and other markets as well as economic indicators. Findings – The study finds that the assessment of sovereign risk is only possible when using information from different markets and adjusting according to the information included in these measures. Combining both market-based and economic information leads to a value-based evaluation of sovereign risk. Practical implications – The practical implications are given for any institution with sovereign risk on their asset side. In fact, part of this research was done for the German Actuarial Foundation which uses the recommendations of this paper for the insurance industry. Originality/value – The study’s approach is novel because it is the first to include several market-based and economic measures of a sovereign and combines it into a value-based assessment. |
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. @article{Posch2013, title = {Benford or Not-Benford? How to test for the First-Digit Law }, author = {Peter N Posch}, url = {http://www.iphsci.com/benford_or_not_benford.pdf}, year = {2013}, date = {2013-01-01}, journal = {JP Journal of Fundamental and Applied Statistics}, volume = {4}, number = {Issues 1 & 2}, pages = {1-22}, abstract = {In this paper, we discuss several methods used to examine the goodness-of-fit of a given dataset to the so-called Benford’s law. While the use of distance measures itself suffer from theoretical founded critical values, the procedures used in literature so far do not provide a more clear statement. Apart from using graphical methods (like histogram, etc.), which are not part of the discussion, the often used Distortion Factor Model is extended to the Mantissa-Distortion-Factor (MDF) and a Benford-specific test procedure is introduced. This test is based the property of invariance of scale and base, which is an underlying feature of the First-Digit-Law. The so called Transformation-Invariance-Test (TIT) is derived as a closed form testprocedure. The practical power of the TIT is shown using a widely used macroeconomic dataset.}, keywords = {}, pubstate = {published}, tppubtype = {article} } In this paper, we discuss several methods used to examine the goodness-of-fit of a given dataset to the so-called Benford’s law. While the use of distance measures itself suffer from theoretical founded critical values, the procedures used in literature so far do not provide a more clear statement. Apart from using graphical methods (like histogram, etc.), which are not part of the discussion, the often used Distortion Factor Model is extended to the Mantissa-Distortion-Factor (MDF) and a Benford-specific test procedure is introduced. This test is based the property of invariance of scale and base, which is an underlying feature of the First-Digit-Law. The so called Transformation-Invariance-Test (TIT) is derived as a closed form testprocedure. The practical power of the TIT is shown using a widely used macroeconomic dataset. |
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. @article{doi:10.1108/JRF-03-2013-0019, title = {Managing and trading sovereign risk using credit derivatives and government markets}, author = {Peter N Posch and Samuel Pollege}, url = {https://doi.org/10.1108/JRF-03-2013-0019}, doi = {10.1108/JRF-03-2013-0019}, year = {2013}, date = {2013-01-01}, journal = {The Journal of Risk Finance}, volume = {14}, number = {5}, pages = {453-467}, abstract = {Purpose – The sovereign debt crisis in Europe increased the demand for asset manager worldwide to monitor and manage their sovereign risk. While using information from the credit derivatives and bond markets has been used widely in the corporate sector its usage for sovereign risk is novel. The paper aims to discuss these issues. Design/methodology/approach – The basis between a sovereign credit default swap (CDS) and the government bond contains valuable information for assets managers and traders alike. The paper demonstrates the use of the basis between the announcement date and the issue date of a new government bond to decide whether an investment in this bond is profitable. Findings – With this strategy, the authors are able to generate both over all excess returns with a European sovereign portfolio since 2008 as well as a constant outperformance of simple average euro government bond portfolios. The paper furthermore tests the economic rationale behind this trading strategy and confirms prior findings from the corporate market. CDS market liquidity is among the main driver and it follows that the CDS market is faster in anticipating risks than the bond market not only for corporate but also for sovereign entities. Originality/value – The authors are the first to study the sovereign basis in a sound trading and asset management environment. The paper provides economic explanations and checks for the robustness of the results before the primary issuance of a new government bond.}, keywords = {}, pubstate = {published}, tppubtype = {article} } Purpose – The sovereign debt crisis in Europe increased the demand for asset manager worldwide to monitor and manage their sovereign risk. While using information from the credit derivatives and bond markets has been used widely in the corporate sector its usage for sovereign risk is novel. The paper aims to discuss these issues. Design/methodology/approach – The basis between a sovereign credit default swap (CDS) and the government bond contains valuable information for assets managers and traders alike. The paper demonstrates the use of the basis between the announcement date and the issue date of a new government bond to decide whether an investment in this bond is profitable. Findings – With this strategy, the authors are able to generate both over all excess returns with a European sovereign portfolio since 2008 as well as a constant outperformance of simple average euro government bond portfolios. The paper furthermore tests the economic rationale behind this trading strategy and confirms prior findings from the corporate market. CDS market liquidity is among the main driver and it follows that the CDS market is faster in anticipating risks than the bond market not only for corporate but also for sovereign entities. Originality/value – The authors are the first to study the sovereign basis in a sound trading and asset management environment. The paper provides economic explanations and checks for the robustness of the results before the primary issuance of a new government bond. |
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. @article{KALTEIER201353, title = {Sovereign asset values and implications for the credit market}, author = {Peter N Posch and Eva Maria Kalteier }, url = {http://www.sciencedirect.com/science/article/pii/S1058330013000207}, doi = {10.1016/j.rfe.2013.02.001}, issn = {1058-3300}, year = {2013}, date = {2013-01-01}, journal = {Review of Financial Economics}, volume = {22}, number = {2}, pages = {53 - 60}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{LOFFLER20135147, title = {Wall Street’s bailout bet: Market reactions to house price releases in the presence of bailout expectations}, author = {Peter N Posch and Gunter Löffler}, url = {http://www.sciencedirect.com/science/article/pii/S0378426613000745}, doi = {10.1016/j.jbankfin.2013.01.041}, issn = {0378-4266}, year = {2013}, date = {2013-01-01}, journal = {Journal of Banking & Finance}, volume = {37}, number = {12}, pages = {5147 - 5158}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{Heider2013, title = {Cross-Market Valuation with Full Information on the Company’s Capital Structure}, author = {Peter N Posch and Pascal Heider}, doi = {10.4236/jmf.2013.33A007}, year = {2013}, date = {2013-01-01}, journal = {Journal of Mathematical Finance}, volume = {3}, number = {3A}, abstract = {Most models for forecasting a company’s value either use only information from single markets or compress information from other markets. We propose a model using a company’s full capital structure including the term structure and type of outstanding debt to assess its future value. We discuss the numerical properties of our model and demonstrate its usefulness when estimating the probability of default as a valuation example.}, keywords = {}, pubstate = {published}, tppubtype = {article} } Most models for forecasting a company’s value either use only information from single markets or compress information from other markets. We propose a model using a company’s full capital structure including the term structure and type of outstanding debt to assess its future value. We discuss the numerical properties of our model and demonstrate its usefulness when estimating the probability of default as a valuation example. |
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). @article{BOWDEN2013266, title = {In Contango Versus Backwardation, the Truth May Not be in Convenience: Disequilibrium States and the Spot-Forward Balance in Commodity Markets}, author = {Peter N Posch and Roger J Bowden}, url = {http://www.sciencedirect.com/science/article/pii/S1877050913001683}, doi = {10.1016/j.procs.2013.05.035}, issn = {1877-0509}, year = {2013}, date = {2013-01-01}, journal = {Procedia Computer Science}, volume = {17}, number = {Supplement C}, pages = {266 - 273}, note = {First International Conference on Information Technology and Quantitative Management}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{POSCH2011641, title = {Time to change. Rating changes and policy implications}, author = {Peter N Posch}, url = {http://www.sciencedirect.com/science/article/pii/S0167268111001715}, doi = {10.1016/j.jebo.2011.06.026}, issn = {0167-2681}, year = {2011}, date = {2011-01-01}, journal = {Journal of Economic Behavior & Organization}, volume = {80}, number = {3}, pages = {641 - 656}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{doi:10.1080/09603107.2011.595679, title = {The bonus pool, mark to market and free cash flow: producer surplus and its vesting in the financial markets}, author = {Peter N Posch and Roger J Bowden}, url = {http://dx.doi.org/10.1080/09603107.2011.595679}, doi = {10.1080/09603107.2011.595679}, year = {2011}, date = {2011-01-01}, journal = {Applied Financial Economics}, volume = {21}, number = {24}, pages = {1843-1857}, publisher = {Routledge}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
2010 |
Posch, Peter N; Bowden, Roger J Quality Signalling and Ratings Credibility: Regulatory Reform for the Ratings Industry Journal Article 2010. @article{article, title = {Quality Signalling and Ratings Credibility: Regulatory Reform for the Ratings Industry}, author = {Peter N Posch and Roger J Bowden}, url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1651105}, year = {2010}, date = {2010-01-01}, booktitle = {SSRN Electronic Journal}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{doi:10.1080/09720510.2008.10701294, title = {A survey on sequences and distribution functions satisfying the first-digit-law}, author = {Peter N Posch}, url = {http://dx.doi.org/10.1080/09720510.2008.10701294}, doi = {10.1080/09720510.2008.10701294}, year = {2008}, date = {2008-01-01}, journal = {Journal of Statistics and Management Systems}, volume = {11}, number = {1}, pages = {1-19}, publisher = {Taylor & Francis}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
2007 |
Posch, Peter N; Löffler, Gunter How do Rating Agencies Score in Predicting Firm Performance Book Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2007. @book{Löffler2007How, title = {How do Rating Agencies Score in Predicting Firm Performance}, author = {Peter N Posch and Gunter Löffler }, doi = {10.18452/4062}, year = {2007}, date = {2007-01-01}, publisher = {Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät}, keywords = {}, pubstate = {published}, tppubtype = {book} } |
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. @article{Posch2006, title = {Analysing digits for portfolio formation and index tracking}, author = {Peter N Posch and Welf A Kreiner}, url = {https://doi.org/10.1057/palgrave.jam.2240203}, doi = {10.1057/palgrave.jam.2240203}, issn = {1479-179X}, year = {2006}, date = {2006-05-01}, journal = {Journal of Asset Management}, volume = {7}, number = {1}, pages = {69--80}, keywords = {}, pubstate = {published}, tppubtype = {article} } |