Browsing NTNU Open by Author "De Lange, Petter Eilif"
Now showing items 1-20 of 22
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Backtesting of credit rating models - Achieving compliance with the European Securities and Markets authority's guidelines
Kika, Alek (Master thesis, 2019)Credit rating agencies’ (CRA) increasingly important role in financial markets and the real economy has resulted in new regulatory requirements with respect to backtesting of their credit rating models. The European Union ... -
Effekten av egenkapitalkrav på boliglån til norske husholdninger
De Lange, Petter Eilif; Reite, Endre Jo (Journal article; Peer reviewed, 2017)I denne artikkelen argumenterer vi for at krav til minste egenkapital når det ytes boliglån til husholdningene, som ble innført i 2010, har ført til en kraftig økning i dyre forbrukslån til norske husholdninger. Ved kun å ... -
Efficiency in the Atlantic salmon futures market
De Lange, Petter Eilif; Andersen, Bendik (Peer reviewed; Journal article, 2021)In this study, we examine the efficiency and unbiasedness of Atlantic salmon futures prices. Market participants use the Fish Pool futures market to hedge the increasingly volatile salmon spot price. We further examine the ... -
Employing Machine Learning and Econometric Models to Forecast Implied Volatility for EUR/USD FX Options
Djupskås, Gard; Olsen, Asbjørn (Master thesis, 2022)I denne artikkelen gjennomfører vi en empirisk studie av prognosenøyaktigheten til LSTM-, Random Forest- og AR-GARCH-modeller for implisitt volatilitet på daglige spotkurser for EUR/USD-valutaopsjoner. Vi bruker en univariate ... -
Employing Machine Learning and Econometric Models to Forecast Implied Volatility for EUR/USD FX Options
Djupskås, Gard; Olsen, Asbjørn (Master thesis, 2022)I denne artikkelen gjennomfører vi en empirisk studie av prognosenøyaktigheten til LSTM-, Random Forest- og AR-GARCH-modeller for implisitt volatilitet på daglige spotkurser for EUR/USD-valutaopsjoner. Vi bruker en ... -
Estimating Contingent Convertible credit spreads in the Norwegian Bond Market using an option pricing approach
De Lange, Petter Eilif; Stiberg, Kim Andre Ha; Aamo, Per Egil (Peer reviewed; Journal article, 2019)In this paper we model credit spreads on contingent convertible bonds (CoCos) in the Norwegian financial bond market, using a Merton-style option model approach. We examine whether the Merton risk default model provides a ... -
Estimating Value at Risk from implied volatilities using machine learning methods and quantile regression
Blom, Herman Mørkved (Master thesis, 2022)I denne studien foreslår vi en semi-parametrisk, sparsommelig Value at Risk-prognosemodell basert på kvantilregresjon og maskinlæringsmetoder, kombinert med markedspriser på opsjonskontrakter hentet fra over-the-counter ... -
Examining classical capital structure models of debt utilization decisions in Norwegian SME shipping companies
De Lange, Petter Eilif; Westgaard, Sjur; Schlingloff, André; Myrland, Caroline (Peer reviewed; Journal article, 2022)This study aims at identifying variables that have a notable impact on the choice of leverage ratio in 161 Norwegian small and medium-sized shipping companies during the period from 2008 to 2019. We apply linear, logistic ... -
Explainable AI for Credit Assessment in Banks
De Lange, Petter Eilif; Melsom, Borger; Vennerød, Christian; Westgaard, Sjur (Peer reviewed; Journal article, 2022)Banks’ credit scoring models are required by financial authorities to be explainable. This paper proposes an explainable artificial intelligence (XAI) model for predicting credit default on a unique dataset of unsecured ... -
Explainable AI for Credit Scoring in Banks
Melsom, Borger Christopher; Vennerød, Christian Bakke (Master thesis, 2022)Finansmyndighetene stiller strenge krav til bankers kredittmodeller. De må være nøyaktige, men også tilstrekkelig forklarlige. Logistisk regresjon (LR) har lenge vært industristandarden innen banksektoren, men i løpet av ... -
Hvordan påvirker nedleggelse av bankkontor valg av boliglånsbank
De Lange, Petter Eilif; Reite, Endre Jo (Journal article; Peer reviewed, 2018)Flere banker har lagt ned bankfilialer, og begrunner kostnadskutt med mer selvbetjente kunder. Lokalsamfunn argumenterer for bankfilialenes betydning, men fører nedleggelsene fortsatt til kundeavgang? Vi sammenligner ... -
Impact of Macroeconomic Factors and Innovation on Stock Returns
Mahmud, Rocky; Hossain, Md Ibrahim (Master thesis, 2021)The association between macroeconomic variables and stock returns is an interesting area of research. However, there is no consensus among scholars regarding the explanatory power of macroeconomic variables, which demands ... -
Impact of Macroeconomic Factors and Innovation on Stock Returns
Mahmud, Rocky; Hossain, Md Ibrahim (Master thesis, 2021)The association between macroeconomic variables and stock returns is an interesting area of research. However, there is no consensus among scholars regarding the explanatory power of macroeconomic variables, which demands ... -
Modeling Bond Spreads and Credit Default Risk in the Norwegian Financial Market Using Structural Credit Default Models
Rundhaug, Mathilde; De Lange, Petter Eilif; Aamo, Per Egil (Peer reviewed; Journal article, 2020)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 ... -
The Norwegian financial bond market : A comprehensive market review with an empirical analysis of the main drivers of spreads
De Lange, Petter Eilif; Aamo, Per Egil; Westgaard, Sjur (Peer reviewed; Journal article, 2018)In this paper, we examine the Norwegian financial bond market, i.e. the market for bonds issued by Norwegian banks. We describe the market by characterizing the market participants in the different securities on both the ... -
Pengepolitikk ut av økonomiske kriser
Haugen, Beate Lillestøl; Sandaa, Anne-Gina (Bachelor thesis, 2024)De siste 160 årene har det oppstått flere økonomiske kriser, med ulikt opphav. Disse krisene har rammet internasjonalt, med implikasjoner for norsk økonomi og norske banker. Verden har nylig vært rammet av en pandemi, og ... -
Stability and accuracy of credit ratings Examining credit assessments from two Norwegian banks
Hua, Eric Guangcheng; Jacobsen, Jesper T; De Lange, Petter Eilif; Hjelkrem, Lars Ole (Peer reviewed; Journal article, 2021)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 ... -
Term Premia in Norwegian Government Bond Yields
De Lange, Petter Eilif; Risstad, Morten; Westgaard, Sjur (Peer reviewed; Journal article, 2022)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 ... -
The Norwegian financial bond market - A comprehensive market review with an empirical analysis of the main drivers of spreads
De Lange, Petter Eilif; Aamo, Per Egil; Westgaard, Sjur (Journal article; Peer reviewed, 2018)In this paper, we examine the Norwegian financial bond market, i.e. the market for bonds issued by Norwegian banks. We describe the market by characterizing the market participants in the different securities on both the ... -
Utilizing structural models to evaluate probability of default for Norwegian stock-based firms
Andersen, Bendik Persch; Rundhaug, Mathilde; De Lange, Petter Eilif (Chapter, 2021)