The purpose of this paper is to explain the reasoning and insight behind the calculation of Indicative Prices for Danish mortgage bonds

The purpose of this paper is to explain the reasoning and insight behind the calculation of Indicative Prices for Danish mortgage bonds

This presentation is a follow up on the presentation: “Financial Crisis of 2008″…

The purpose of this paper is to explain the background behind the key-figures for the danish mortgage bonds that are calculated…

This presentation contains a short introduction to the concepts: Fragility and Anti-Fragility – ideas which original comes from…

This paper has two objectives. First we will construct a general model for the variation in the term structure of interest rates…

This presentation discusses counterparty-risk in terms of CVA/DVA. This both from a practical angle and a more pricing theoretical…

This presentation focuses on a practical example on the modelling of Tail-Risk for Danish Mortgage Bonds during the Financial…

This presentation focus is the discussion of Tail-Risk, and which methods are available.

This presentation focuses on given an introduction to the modelling of Operationel Risk. Different Risk approaches to Operationel…

In this paper we first show how to determine the T-forward adjusted risk-measure using the concept of fundamental solution to linear…

Boligøkonomisk Videncenter i Realdania startede i maj 2010 et projekt om danskernes konvertering af realkreditlån i boligen…

This presentation looks at the Financial Crisis of 2008, what failed and what to learn from it. A subtitle for this presentation could…

The purpose of this document is to give an introduction to Risk management seen in a broad perspective. That is we do not limit…

This presentation take a look at the new product from Realkredit Danmark, called RenteDykTM – also referred to as a One-Way-Floater…

This presentation gives a survey of Inflation-Linked Products. The presentation includes the following topics: Inflation-Linked…

The purpose of this white-paper is to give an introduction to how FinE models prepayment behaviour.The paper is organized as…

The presentation gives a survey of the different methods/models that are available for the pricing of American/Bermudan options…

In this paper we extend the traditional approach in the literature that uses Principal Component Analysis (PCA) when analyzing the dynamic in the yield-curve by…

This paper proposes a new 3-factor model for the dynamic in the yield-curve which belongs to the Affine class of term structure models. Using a yield-factor approach…

The most important result in this working paper is the construction of a multidimensional Gaussian interest-rate term structure model…

The main purpose of this paper is to give a thorough explanation of three different Barbell strategies; Standard Barbells, Butterfly Barbells and Box Barbells…

Med annonceringen af Riskmetrics-teknologien er det lykkedes J. P. Morgan at definere et “universalt” værktøj til beskrivelse af risiko på tværs af instrumenttyper…

I dette arbejdspapir vil jeg foretage en analyse og en diskussion af en række af de kontinuerte modeller til prisfastsættelse af obligationer, der…

Dette papir vil beskæftige sig med modellering af dynamikken i rentestrukturen med udgangspunkt i det framework, der er blevet udviklet af Heath…

I dette papir vil jeg derfor foretage en nærmere analyse af fire forskellige kontinuerte rentestrukturmodeller. Disse fire modeller er Cox, Ingersoll og Ross (1985)…

I dette arbejdspapir vil jeg analysere sammenhængen imellem de forskellige forventningshypoteser, der i tidens løb er blevet foreslået i litteraturen…

Dette papir diskuterer udelukkende de teoretiske aspekter ved estimation af rentestrukturen og anviser kun en enkel fremgangsmåde måde…