Browsing NTNU Open by Author "Aamo, Per Egil"
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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 ... -
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 ... -
Stress Testing Norwegian Banks: A Top-Down Approach
Dahl, Erling; Bråten, Jonas Melby (Master thesis, 2023)I denne oppgaven stresstester vi kapitalen til et utvalg nøkkelbanker i Norge under de nåværende kapitaldekningskravene gitt av Basel III rammeverket, som har vært effektiv i EU siden 2010. Metoden vår baseres på et ... -
Stress Testing Norwegian Banks;A Top-Down Approach
Dahl, Erling; Melby Bråten, Jonas (Master thesis, 2023)I denne oppgaven stresstester vi kapitalen til et utvalg nøkkelbanker i Norge under de nåværende kapitaldekningskravene gitt av Basel III rammeverket, som har vært effektiv i EU siden 2010. Metoden vår baseres på et ... -
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 ...