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Associate Professor Thuy Duong To

Associate Professor Thuy Duong To

Associate Professor
  • PhD (Finance and Economics), University of Technology Sydney
Business School
School of Banking and Finance

Associate Professor Thuy Duong To is the Deputy Head (Education) of the School of Banking and Finance, UNSW Business School. Her main teaching are 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.

 

 
Phone
+61 2 9385 5865
E-mail
td.to@unsw.edu.au
Location
UNSW Business School - Ref E12 Level 3, Office 359B

  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

 

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

 

Recent publications

  1. '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
  2. '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
  3. '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
  4. 'Pricing Risks Across Currency Denominations', 2019, Management Science, 65, pp. 5308 - 5336, http://dx.doi.org/10.1287/mnsc.2018.3109

Current working papers:

  1. 'Cheap TIPS or Expensive Inflation Swaps: Mispricing in Real Asset Markets" (with N-K Tran) 
  2. 'Pairwise Correlation Dynamics and Incomplete Information' (with S. Coupy and T. Berrada)
  3. 'Investment Financing Through Risk Sharing Supplier Relationships' (with S. Schraeder)
  4. 'Employee Rights and Cashflow Sensitivity' (with E. Wu and R. Zhao)
 

My Research Supervision

  • 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
    • FINS5530 Financial Institution Management
    • FINS5534 Strategic Management of Credit Risk and Loan Policy