Zobrazeno 1 - 10
of 17
pro vyhledávání: '"Petter Eilif De Lange"'
Publikováno v:
Journal of Risk and Financial Management; Volume 16; Issue 7; Pages: 312
In this study, we propose a semiparametric, parsimonious value-at-risk forecasting model, based on quantile regression and machine learning methods, combined with readily available market prices of option contracts from the over-the-counter foreign e
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=multidiscipl::da061acc5e7769c2d8028f700b99bf5d
Publikováno v:
Journal of Risk and Financial Management; Volume 16; Issue 4; Pages: 221
Predicting creditworthiness is an important task in the banking industry, as it allows banks to make informed lending decisions and manage risk. In this paper, we investigate the performance of two different deep learning credit scoring models develo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2ad6ce150c1791b26e01118b8f7b6f04
https://doi.org/10.3390/jrfm16040221
https://doi.org/10.3390/jrfm16040221
Publikováno v:
Beta
In this study, we examine the credit risk of banking bonds. We apply two option-based credit default models originally derived by Merton and Black and Cox, with the aim of producing objective credit ratings and credit spreads. A credit rating process
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4ada74d9e1a1b797f1501755e109be18
https://doi.org/10.18261/issn.1504-3134-2020-01-05
https://doi.org/10.18261/issn.1504-3134-2020-01-05
Publikováno v:
Beta
The typically observed upward sloping nominal yield curve implies that investors demand positive risk premia – or term premia – to hold long-term nominal bonds. Fundamentally, the term premium is compensation to investors for bearing interest rat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fb6e6f6147c172a678cb3e5a54653c46
https://hdl.handle.net/11250/3039550
https://hdl.handle.net/11250/3039550
Autor:
Borger Melsom, Christian Bakke Vennerød, Petter Eilif de Lange, Lars Ole Hjelkrem, Sjur Westgaard
Publikováno v:
Journal of Risk.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d59cc28b7b7e0debae3169e5c8b8876b
https://doi.org/10.21314/jor.2022.046
https://doi.org/10.21314/jor.2022.046
Publikováno v:
Journal of Risk Model Validation.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::806c8dbc08292f8f3ddeb0676330088d
https://doi.org/10.21314/jrmv.2022.018
https://doi.org/10.21314/jrmv.2022.018
Publikováno v:
Journal of Risk and Financial Management; Volume 16; Issue 3; Pages: 188
Fundamentally, the term premium in long-term nominal yields is compensation to investors for bearing interest rate risk. There is substantial evidence of sizable and time-varying term premia. As opposed to yields, term premia are not directly observa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fb4d8eae82b531cc0b3da24e775050a5
https://doi.org/10.3390/jrfm16030188
https://doi.org/10.3390/jrfm16030188
Publikováno v:
Journal of Risk and Financial Management; Volume 15; Issue 12; Pages: 597
Journal of Risk and Financial Management
Journal of Risk and Financial Management
Banks generally use credit scoring models to assess the creditworthiness of customers when they apply for loans or credit. These models perform significantly worse when used on potential new customers than existing customers, due to the lack of finan
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c6ad35028daf82f4e278fbd343bb489e
https://doi.org/10.3390/jrfm15120597
https://doi.org/10.3390/jrfm15120597
Publikováno v:
Beta. 33:195-214
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8b0dfdab4abdd7597338e0a040b334c5
https://doi.org/10.18261/issn.1504-3134-2019-02-06
https://doi.org/10.18261/issn.1504-3134-2019-02-06
Publikováno v:
Beta
Does the novel technology blockchain conceal properties of an organization that we do not see? This paper suggests that this may be the case. The paper sets out to substantiate a claim that we might be observing the emergence of a loose organization
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eb63bdb5b721fd423651e71c2a9babc3
https://hdl.handle.net/11250/2825559
https://hdl.handle.net/11250/2825559