Katja Ignatieva

Scientia Associate Professor
Associate Professor

Katja is a Sciential Associate Professor in the School of Risk and Actuarial Studies at UNSW Business School. She joined UNSW in November 2011 after completing her Co-tutelle PhD in Finance at Goethe University Frankfurt, Germany and Macquarie University Sydney. Prior to her PhD studies, Katja has completed MSc in Mathematics and Statistics from Humboldt University Berlin, Germany as well as Glasgow University, UK. Katja’s research interests lie in the area of quantitative finance, in particular, financial econometrics, derivative pricing and risk management. Katja performs empirical research in financial markets, commodity and energy markets, and insurance. Katja has published her research in the top tier international journals such as Journal of Business & Economic Statistics, Journal of Banking and Finance, Energy Economics and Insurance: Mathematics and Economics among others.

publications

Journal articles
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McCulloch L; Ignatieva K, 2020, 'Intra-day Electricity Demand and Temperature', ENERGY JOURNAL, vol. 41, pp. 161 - 181, http://dx.doi.org/10.5547/01956574.41.3.jmcc
2020
Alexeev V; Ignatieva K, 2020, 'Biases in variance of decomposed portfolio returns', International Review of Finance, http://dx.doi.org/10.1111/irfi.12319
2020
Alexeev V; Ignatieva K; Liyanage T, 2020, 'Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals', Studies in Nonlinear Dynamics & Econometrics, http://dx.doi.org/10.1515/snde-2018-0094
2020
Ignatieva K; Landsman Z, 2019, 'Conditional tail risk measures for the skewed generalised hyperbolic family', Insurance: Mathematics and Economics, vol. 86, pp. 98 - 114, http://dx.doi.org/10.1016/j.insmatheco.2019.02.008
2019
Alai DH; Ignatieva K; Sherris M, 2019, 'The investigation of a forward-rate mortality framework', Risks, vol. 7, http://dx.doi.org/10.3390/risks7020061
2019
Gudkov N; Ignatieva K; Ziveyi J, 2019, 'Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method', Quantitative Finance, vol. 19, pp. 501 - 518, http://dx.doi.org/10.1080/14697688.2018.1490806
2019
Fung MC; Ignatieva K; Sherris M, 2019, 'Managing systematic mortality risk in life annuities: An application of longevity derivatives', Risks, vol. 7, http://dx.doi.org/10.3390/risks7010002
2019
Da Fonseca J; Ignatieva K, 2019, 'Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market', Journal of Banking and Finance, vol. 99, pp. 45 - 62, http://dx.doi.org/10.1016/j.jbankfin.2018.11.014
2019
Ignatieva K; Song A; Ziveyi J, 2018, 'Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality', ASTIN Bulletin, vol. 48, pp. 139 - 169, http://dx.doi.org/10.1017/asb.2017.23
2018
Da Fonseca J; Ignatieva K, 2018, 'Volatility spillovers and connectedness among credit default swap sector indexes', Applied Economics, vol. 50, pp. 3923 - 3936, http://dx.doi.org/10.1080/00036846.2018.1430344
2018
Baldeaux J; Ignatieva K; Platen E, 2018, 'Detecting money market bubbles', Journal of Banking and Finance, vol. 87, pp. 369 - 379, http://dx.doi.org/10.1016/j.jbankfin.2017.10.017
2018
Ignatieva K; Ponomareva N, 2017, 'Commodity currencies and commodity prices: modelling static and time-varying dependence', Applied Economics, vol. 49, pp. 1491 - 1512, http://dx.doi.org/10.1080/00036846.2016.1221038
2017
Ignatieva K; Song A; Ziveyi J, 2016, 'Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality', Insurance: Mathematics and Economics, vol. 70, pp. 286 - 300, http://dx.doi.org/10.1016/j.insmatheco.2016.06.014
2016
Ignatieva K; Trück S, 2016, 'Modeling spot price dependence in Australian electricity markets with applications to risk management', Computers and Operations Research, vol. 66, pp. 415 - 433, http://dx.doi.org/10.1016/j.cor.2015.07.019
2016
Da Fonseca J; Ignatieva K; Ziveyi J, 2016, 'Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market', Energy Economics, vol. 56, pp. 215 - 228, http://dx.doi.org/10.1016/j.eneco.2016.03.022
2016
Ignatieva K; Landsman Z, 2015, 'Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions', Insurance: Mathematics and Economics, vol. 65, pp. 172 - 186, http://dx.doi.org/10.1016/j.insmatheco.2015.09.007
2015
Gallagher DR; Ignatieva K; McCulloch J, 2015, 'Industry concentration, excess returns and innovation in Australia', Accounting and Finance, vol. 55, pp. 443 - 466, http://dx.doi.org/10.1111/acfi.12074
2015
Baldeaux J; Fung MC; Ignatieva K; Platen E, 2015, 'A Hybrid Model for Pricing and Hedging of Long-dated Bonds', Applied Mathematical Finance, vol. 22, pp. 366 - 398, http://dx.doi.org/10.1080/1350486X.2015.1050119
2015
Fung MC; Ignatieva K; Sherris M, 2015, 'Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives', SSRN Electronic Journal, http://dx.doi.org/10.2139/ssrn.2576575
2015
Ignatieva K; Rodrigues P; Seeger N, 2015, 'Empirical Analysis of Affine vs. Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices', Journal of Business & Economic Statistics, vol. 33, pp. 68 - 75, http://dx.doi.org/10.1080/07350015.2014.922471
2015
Fung MC; Ignatieva K; Sherris M, 2014, 'Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities', Insurance: Mathematics and Economics, vol. 58, pp. 103 - 115, http://dx.doi.org/10.1016/j.insmatheco.2014.06.010
2014
Baldeaux J; Ignatieva K; Platen E, 2014, 'A Tractable Model for Indices Approximating the Growth Optimal Portfolio', Studies In Nonlinear Dynamics and Econometrics, vol. 18, pp. 1 - 21, http://dx.doi.org/10.1515/snde-2012-0054
2014
Ignatieva K, 2013, 'A Nonparametric Model for Spot Price Dynamics and Pricing of Futures Contracts in Electricity Markets', Studies in Nonlinear Dynamics and Econometrics, vol. 18, pp. 483 - 505, http://dx.doi.org/10.1515/snde-2012-0001
2013
Ignatieva K; Gallagher DR; McCulloch J, 2013, 'Industry Concentration, Excess Returns and Innovation in Australia', Accounting and Finance, vol. 55, pp. 443 - 446, http://dx.doi.org/10.1111/acfi.12074
2013
Ignatieva K; Platen E, 2012, 'Estimating the diffusion coefficient function for a diversified world stock index', Computational Statistics and Data Analysis, vol. 56, pp. 1333 - 1349, http://dx.doi.org/10.1016/j.csda.2011.10.004
2012
Ignatieva K; Platen E; Rendek R, 2011, 'Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversified World Stock Index', Journal of Statistical Theory and Practice, vol. 5, pp. 425 - 452, http://dx.doi.org/10.1080/15598608.2011.10412039
2011
Ignatieva K; Platen E, 2010, 'Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae', Asia Pacific Financial Markets, vol. 17, pp. 261 - 302, http://dx.doi.org/10.1007/s10690-010-9116-2
2010