Dr Thuy-Duong To is an Associate Professor at the School of Banking and Finance, UNSW Business School. She also serves as the Deputy Head of School (Education). Her main teaching is on capital markets, portfolio management and risk management. Her main research interest is asset pricing. At the moment she is doing research on international finance, incomplete information, risk management, supply chain, and empirical corporate finance.
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Dr Thuy-Duong To is an Associate Professor at the School of Banking and Finance, UNSW Business School. She also serves as the Deputy Head of School (Education). Her main teaching is on capital markets, portfolio management and risk management. Her main research interest is asset pricing. At the moment she is doing research on international finance, incomplete information, risk management, supply chain, and empirical corporate finance.
My Grants
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Australian Research Council, Discovery Grant DP1095177
Period: 2010 – 2012
Project: The modelling and estimation of volatility in energy markets
Researchers: C. Chiarella; C. Nikitopoulos; T-D. To
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Australian Research Council, Discovery Grant DP0773965
Period: 2007 – 2009
Project: The modelling and assessment of credit default risk
Researchers: C. Chiarella, T-D. To
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Industry Research Grant
Industry partner: ABP Pension Fund
Period: 2005 - 2007
Project: The design and performance of an adaptive evolutionary algorithm for technical asset allocation management decisions
Subtitle: 'Development of Evolutionary Computation Processes to aid in Stock Selection Picking'
Researchers: Z. Michalewicz, M. Schmidt, T-D.To, R. Zurbruegg
My Qualifications
- PhD (Finance and Economics), University of Technology Sydney
My Awards
UTS Vice Chancellor's List (Honour Roll) - PhD thesis
My Research Activities
Recent publications
- 'Nontraded Sector Growth Risks and Economic Sizes in International Asset Pricing' (with N-K Tran), 2024, Management Science, v70, n12, pp 8448–8463, http://dx.doi.org/10.1287/mnsc.2022.03697
- 'Market Timing and Predictability in FX Markets' (with T.A. Maurer and N-K Tran), 2023, Review of Finance, 27, pp. 223 - 246, http://dx.doi.org/10.1093/rof/rfac014
- 'Pricing Implications of Covariances and Spreads in Currency Markets', 2022, The Review of Asset Pricing Studies, 12, http://dx.doi.org/10.1093/rapstu/raab019
- 'Pricing Risks Across Currency Denominations', 2019, Management Science, 65, pp. 5308 - 5336, http://dx.doi.org/10.1287/mnsc.2018.3109
Current working papers:
- 'Cheap TIPS or Expensive Inflation Swaps: Mispricing in Real Asset Markets" (with N-K Tran)
- 'Pairwise Correlation Dynamics and Incomplete Information' (with S. Coupy and T. Berrada)
- 'Investment Financing Through Risk Sharing Supplier Relationships' (with S. Schraeder)
- 'Employee Rights and Cashflow Sensitivity' (with E. Wu and R. Zhao)
My Research Supervision
Supervision keywords
Areas of supervision
Empirical asset pricing, international finance, risk management
Currently supervising
- Suardi,Lenny, PhD, "The Evaluation of Crack Spread Options with Stochastic Volatility and Jumps" (co-supervising)
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| Rojasavachai,Ravipa, PhD, "The impact of oil supply and demand shocks on stock market returns and the economy" (co-supervising) |
My Teaching
- FINS3634 Credit Analysis and Lending
- FINS5512 Financial Markets and Institutions
- FINS5513 Investments and Portfolio Selection
- FINS5530 Financial Institution Management
- FINS5534 Strategic Management of Credit Risk and Loan Policy
https://orcid.org/0000-0001-9125-7773
