Researcher

Dr Thuy Duong To

Keywords

Biography

Thuy Duong To is a Senior Lecturer in the School of Banking and Finance, UNSW Business School. Her main teaching are on capital markets, portfolio management and risk management (financial institution risk and credit risk). Her main research interest is asset pricing. At the moment she is doing research on international finance, fixed income markets, incomplete information, supply chain, and banking.

 

Research Interests:

    Asset...view more

Thuy Duong To is a Senior Lecturer in the School of Banking and Finance, UNSW Business School. Her main teaching are on capital markets, portfolio management and risk management (financial institution risk and credit risk). Her main research interest is asset pricing. At the moment she is doing research on international finance, fixed income markets, incomplete information, supply chain, and banking.

 

Research Interests:

    Asset pricing:

  • Empirical asset pricing
  • International finance
  • Financial economics
  • Financial markets
  • Commodity and energy market
  • Interest rate and credit risk modelling
  • Risk management

 

Personal website

 


My Grants

  1. 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

  1. Australian Research Council, Discovery Grant DP0773965

Period: 2007 – 2009

Project: The modelling and assessment of credit default risk

Researchers: C. Chiarella, T-D. To

  1. 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, University of Technology Sydney
  • MBus, University of Technology Sydney
  • BCom, University of New South Wales

My Awards

UTS Vice Chancellor's List (Honour Roll) - PhD thesis

 


My Research Activities

Current working papers:

1. “Pricing Implications of Covariances and Spreads in Currency Markets” (with T. Maurer and N-K. Tran)

Forthcoming at The Review of Asset Pricing Studies

2. “Market Timing and Predictability in FX Markets” (with T. Maurer and N-K. Tran)

Revise and Resubmit (R&R) at Review of Finance

3. “Nontraded Sector Growth Risks and Economic Sizes in International Asset Pricing” (with N-K Tran)

Revise and Resubmit (R&R) at Management Science

4. “Cheap TIPS or Expensive Inflation Swaps: Mispricing in Real Asset Markets” (with N-K. Tran)

AEA American Economic Association Meeting (2020, San Diego); AsFA Asian Finance Association Meeting (2019, Hochiminh City); FMA Asia Pacific Meeting (2019, Hochiminh City).

5. “Pairwise Correlation Dynamics and Incomplete Information” (with S. Coupy and T. Berrada)

AFBC Australasia Finance and Banking Conference (2017, Sydney);


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)
  • 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
  • FINS5534 Strategic Management of Credit Risk and Loan Policy
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Location

UNSW Business School - Ref E12
Level 3, Office 359B

Map reference (Google map)

Contact

+61 2 9385 5865
+61 2 9055 1884