Stefan Trueck

Working paper

Real estate cycles and bank systemic risks

We present an empirical model of systemic banking crises from an Australian perspective. Having no history of domestic banking crises in recent history, our quantitative model is estimated using an international panel data set spanning 18 countries and 30 years of observations. We evaluate in...
Working paper

The Diversification Delta: A different perspective

Vermorken et al. (2012) introduce a new measure of diversication, the Diversication Delta based on the empirical entropy. The entropy as a measure of uncertainty has successfully been used in several frameworks and takes into account the uncertainty related to the entire statistical distribution and...
Working paper

Systemic Financial Risk Inference in a Global Setting

We propose a new top-down approach to measure systemic risk in the financial system. Our framework uses a combination of macroeconomic, financial and rating factors in representative regions of the world. We formulate a mixed-frequency state-space model to estimate macroeconomic factors. To derive financial risk...
Working paper

Understanding a Small Open Economy Business Conditions Index

We estimate an unobservable domestic business conditions index for Australia using a variety of observable macroeconomic and nancial variables, relating it to an unobservable external index involving external variables relevant to Australia. Our small open economy, dynamic factor model uses stock and ow variables arriving...

Climate Adaptation decision support Tool for Local Governments: CATLoG

Abstract The Intergovernmental Panel on Climate Change (IPCC), the globally-recognised reference body for climate-related research, describes warming of the climate system as ‘unequivocal’. The changing climate is likely to result in the occurrence of more frequent and intense extreme weather events. This demands preventative and...