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...
The Normal Class Of Arbitrage-free Spot-rate Models In this paper we first show how to determine the T-forward adjusted risk-measure using the concept of fundamental solution to linear PDE’s. After that, relying on Fourier transformation we derive bond-and bond-option...
Realkreditrådgivning – Et studie af danskernes valg af realkreditlån og konverteringspraksis Boligøkonomisk Videncenter i Realdania startede i maj 2010 et projekt om danskernes konvertering af realkreditlån i boligen. Projektet blev afsluttet med en rapport...
