Stefan Trueck Publications
'Modeling the Price Dynamics of CO2 Emission Allowances' (with E. Benz), forthcoming in Energy Economics, 2008.
'Forecasting Credit Migration Matrices with Business Cycle Effects - A Model Comparison', The European Journal of Finance 14(5): 359-379, July 2008.
'Spot and Derivative pricing in the EEX Power Market' (with M. Bierbrauer, C. Menn, S.T. Rachev), Journal of Banking and Finance 31(11), 2007.
'Quantifying Risk in the Electricity Business: A RAROC-based Approach' (with M. Prokopczuk, S.T. Rachev, G. Schindlmayr), in Energy Economics 29(5), 2007.
'Exploring the Relationship between Market Value and Sustainable Construction' (with D. Lorenz and T. Lutzkendorf), in Property Management 25(2), 2007
'Modeling Catstrophe Claims with Left-Truncated Severity Distributions' (with K. Burnecki, A. Chernobai, S.T. Rachev and R. Weron), in Computational Statistics 21(4), 2006.
'Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series' (with R. Weron and A. Misiorek), in Studies in Non-Linear Dynamics & Econometrics 10(3), 2006.
'Addressing Risk and Uncertainty in Property Valuations – a viewpoint from Germany' (with D. Lorenz and T. Lützkendorf), in Journal of Property Investment and Finance 24(5), 2006.
'CO2 Emission Allowances Trading in Europe – Specifying a new Class of Assets' (with E. Benz), in Problems and Perspectives in Management 3(3), 2006.
'Asset Correlations and Capital Requirements for SMEs under the Revised Basel II Framework' (with J. Henneke), in Banks and Bank Systems, 1(1), 2006.
'Credit Portfolio Risk and PD Confidence Sets through the Business Cycle' (with S.T. Rachev), in Journal of Credit Risk, 1 (4), 2005.
'Time Series Properties of a Rating System based on Financial Ratios' (with U. Krueger and M. Stötzel), in Deutsche Bundesbank Discussion Paper Series: Banking&Financial Studies 14, 2005.
'Stable Modeling of different European Power Markets' (with C. Mugele and S.T. Rachev), in Investment Management & Financial Innovations, 2(3), 2005.
'A Note on the Estimation of the Frequency and Severity Distribution of Operational Losses' (with A. Chernobai, C. Menn and S.T. Rachev), in Applied Probability Trust, 30(2), 2005.
'The Term Structure of Credit Spreads and Credit Default Swaps – an Empirical Investigation' (with M. Laub and S.T. Rachev), in Investment Management & Financial Innovations 3/2004.
'Modelling Electricity Prices with Regime Switching Models' (with R.Weron and M. Bierbrauer), in Lecture Notes in Computer Sciences 3039, 2004.
'Modelling Electricity Prices: Jump Diffusion and Regime Switching' (with R.Weron and M. Bierbrauer), in Physica A – Statistical Mechanics and its Applications, 336, Elsevier 2004.