Author's profile

Natasa Todorovic
Cass Business School

Background

Senior Lecturer in Investment Management. Faculty of Finance.Her research interest is in the area of fund management.

Author articles

  • Momentum effects: G10 currency return survivals
    Finance
    Banking

    The aim of this paper is to analyse data dependencies and patterns in historic currency time series data and implement trading rules that lead to abnormal currency returns that cannot be explained by any systematic risk taking.

    This paper analyses momentum effects in G10 currencies by applying survival analysis common in life time statistics to shed a new light on the market efficiency within the currency market.

    14/01/2013 | 2,073
  • Risk management issues in European equity funds
    Finance
    Asset Management

    The 2008 financial crisis highlighted the lack of effective risk management in the asset management industry. There was a lack of transparency and feasibility in the quantitative tools used to compute the value and risk management for the exotic credit derivatives products. Clearly, risk management was not well understood or used properly by financial companies that operated in this turbulent environment.

    This paper provides a comprehensive analysis of current risk management practices of active European equity long-only funds and hedge funds.

    14/01/2013 | 3,478
  • Determinants of debt rescheduling in Eastern European countries
    Finance
    Any Industry

    From 1990 to 2005, a number of Eastern European countries became an attractive region for investments. This paper looks at 15 of those countries and aims to estimate debt rescheduling probabilities by using a set of macroeconomic, financial and political variables.

    This research is of particular relevance to policy makers, institutional and private foreign investors to investigate determinants or debt rescheduling probabilities in those countries.

    14/01/2013 | 3,557