Associate Professor Katja   Ignatieva
Associate Professor

Associate Professor Katja Ignatieva

Business School
Risk & Actuarial

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.

Phone
56810

Publications

  • Journal articles | 2021
    Associate Professor Katja Ignatieva
    Gudkov N; Ignatieva K, 2021, 'Electricity price modelling with stochastic volatility and jumps: An empirical investigation', Energy Economics, vol. 98, http://dx.doi.org/10.1016/j.eneco.2021.105260
    Journal articles | 2020
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2020
    Associate Professor Katja Ignatieva
    Alexeev V; Ignatieva K, 2020, 'Biases in variance of decomposed portfolio returns', International Review of Finance, http://dx.doi.org/10.1111/irfi.12319
    Journal articles | 2020
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2019
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2019
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2019
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2019
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2019
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2018
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2018
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2018
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2017
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2016
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2016
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2016
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2015
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2015
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2015
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2015
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2015
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2014
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2014
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2013
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2013
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2012
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2011
    Associate Professor Katja Ignatieva
    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
    Journal articles | 2010
    Associate Professor Katja Ignatieva
    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

Awards

Grants

Media