Blar i Institutt for industriell økonomi og teknologiledelse på tidsskrift "Journal of Risk and Financial Management"

Viser treff 1-6 av 6

    • Estimating Value-at-Risk in the EURUSD Currency Cross from Implied Volatilities Using Machine Learning Methods and Quantile Regression 

      Blom, Herman Mørkved; de Lange, Petter Eilif; Risstad, Morten (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 

      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 ...

    • Investment Decisions with Two-Factor Uncertainty 

      Compernolle, Tine; Huisman, Kuno J.M.; Kort, Peter M.; Lavrutich, Maria; Nunes, Cláudia; Thijssen, Jacco J.J. (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 ...

    • Modelling Stock Returns and Risk Management in the Shipping Industry 

      Mohanty, Sunil K.; Ådland, Roar Os; Westgaard, Sjur; Frydenberg, Stein; Lillienskiold, Hilde; Kristensen, Cecilie (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 

      Risstad, Morten; Thodesen, Airin; Thune, Kristian August; Westgaard, Sjur (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 

      de Lange, Petter Eilif; Risstad, Morten; Semmen, Kristian; Westgaard, Sjur (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 ...