Emperical Yieldcurve Dynamics This paper has two objectives. First we will construct a general model for the variation in the term structure of interest rates, or to put it another way, we will define a general model for the shift function. Secondly, I will specify a...

CVA – A look behind the scenes This presentation discusses counterparty-risk in terms of CVA/DVA. This both from a practical angle and a more pricing theoretical view – with intuition. The presentation, include both the unilateral and the bilateral case. The...

Tail Risk 2 This presentation focuses on a practical example on the modelling of Tail-Risk for Danish Mortgage Bonds during the Financial Crisis of 2008. The message here is: It is worth the effort to try to get better estimates for the Tail-Risk! | Back to Archive |...

Modelling & Operational Risk This presentation focuses on given an introduction to the modelling of Operationel Risk. Different Risk approaches to Operationel risk are shortly surveyed. Apart from this the presentation includes some selected cases from the...