Browsing Institutt for internasjonal forretningsdrift by Journals "Journal of Risk and Financial Management"
Now showing items 1-7 of 7
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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 ... -
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, ...