Blar i Fakultet for økonomi (ØK) på tidsskrift "Journal of Risk and Financial Management"
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An analysis of Bitcoin’s price dynamics
(Journal article; Peer reviewed, 2018)This paper aims to enhance the understanding of which factors affect the price development of Bitcoin in order for investors to make sound investment decisions. Previous literature has covered only a small extent of the ... -
Bidding behaviour in the housing market under different market regimes
(Journal article; Peer reviewed, 2018)The aim of this paper is to investigate whether different market regimes affect bidding behavior in housing auctions. Taking advantage of special circumstances in the Norwegian housing market in 2015 and 2016, we conduct ... -
Corporate Governance and Earnings Management in a Nordic Perspective: Evidence from the Oslo Stock Exchange
(Peer reviewed; Journal article, 2020)The purpose of the study is to examine the relation between Nordic corporate governance practices and earnings management. We find that the presence of employee representation on the board and the presence of an audit ... -
Do IFRS promote transparency? Evidence from the bankruptcy prediction of privately held Swedish and Norwegian companies
(Peer reviewed; Journal article, 2021)The purpose of our paper is to investigate whether any differences between International Financial Reporting Standards (IFRS) and local Generally Accepted Accounting Principles (GAAP) impact the transparency of financial ... -
Estimating Value-at-Risk in the EURUSD Currency Cross from Implied Volatilities Using Machine Learning Methods and Quantile Regression
(Peer reviewed; Journal article, 2023)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 ... -
Explainable AI for Credit Assessment in Banks
(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 ... -
Explaining Deep Learning Models for Credit Scoring with SHAP: A Case Study Using Open Banking Data
(Peer reviewed; Journal article, 2023)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 ... -
Forecasting Stochastic Volatility Characteristics for the Finan-cial Fossil Oil Market Densities
(Peer reviewed; Journal article, 2021)This paper builds and implements multifactor stochastic volatility models for the international oil/energy markets (Brent oil and WTI oil) for the period 2011-2021. The main objective is step ahead volatility predictions ... -
Investment Decisions with Two-Factor Uncertainty
(Peer reviewed; Journal article, 2021)This paper considers investment problems in real options with non-homogeneous two-factor uncertainty. We derive some analytical properties of the resulting optimal stopping problem and present a finite difference algorithm ... -
Market Volatility and Investors’ View of Firm-Level Risk: A Case of Green Firms
(Peer reviewed; Journal article, 2020)Do investors believe that firm-level (i.e., idiosyncratic) risk of green (i.e., environmentally responsible) firms is relatively lower? How does high market volatility affect the investors’ view on the firm-level risk ... -
The MAX Effect in an Oil Exporting Country: The Case of Norway
(Peer reviewed; Journal article, 2022)This paper assesses the effects of investors’ lottery-seeking behavior on expected returns in the Norwegian equity market, a relatively small equity market dominated by the energy industry. We use the MAX factor defined ... -
Modelling Stock Returns and Risk Management in the Shipping Industry
(Peer reviewed; Journal article, 2021)We estimate the impact of macroeconomic risk factors on shipping stock returns, using a quantile regression (QR) model. We regress the excess return of a portfolio for the container, dry bulk, chemical/gas, oil tanker, and ... -
On the Exchange Rate Dynamics of the Norwegian Krone
(Peer reviewed; Journal article, 2023)Global energy production is undergoing a transition from fossils to renewables. At the same time, the Norwegian Oil Fund has grown exponentially in size and is now a major global investor. These events in combination are ... -
Term Premia in Norwegian Interest Rate Swaps
(Journal article; Peer reviewed, 2023)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 ... -
The Value of Open Banking Data for Application Credit Scoring: Case Study of a Norwegian Bank
(Peer reviewed; Journal article, 2022)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, ...