Norsk Regnesentral

Submitted papers:

  • Hobæk Haff, Ingrid and Segers, Johan: Non-parametric estimation of pair-copula constructions with the empirical pair-copula. Submitted January 2012.
  • Løland, Anders; Huseby, Ragnar Bang; Hjort, Nils Lid; Frigessi, Arnoldo: "Statistical corrections of invalid correlation matrices". Submitted May 2011.
  • Scheel, Ida, Frigessi, Arnoldo, Hammer, Hugo and Storvik, Bård: "A Bayesian strategy for ranking customers by individual unobserved estimated risk factors", submitted October 2010.

    Recent refereed international journal papers:

    2011

  • Scheel, I.; Ferkingstad, E.; Frigessi, A.; Haug, O.; Meze-Hausken, E. and Nyeggen, E.:"A Bayesian hierarchical model with spatial variable selection for studying the effect of weather on insurance claims", accepted for publication in JRSS Series C, December 2011.
  • Günther, Clara-Cecilie, Tvete, Ingunn Fride, Aas, Kjersti and Borgan, Ørnulf: "Modelling and predicting customer churn from an insurance company", accepted for publication in Scandinavian Actuarial Journal, October 2011.
  • Brechmann, Eike C.; Czado, Claudia; Aas, Kjersti: "Truncated regular vines in high dimensions with application to financial data", accepted for publication in Canadian Journal of Statistics, October 2011.
  • Hobæk Haff, Ingrid: "Parameter estimation for pair-copula constructions", accepted for publication in Bernoulli Journal, October 2011.
  • Løland, A.; Ferkingstad, E.; and Wilhelmsen, M., "Forecasting transmission congestion", accepted for publication in Journal of Energy Markets, 2011.
  • Hobæk Haff, Ingrid: "Comparison of estimators for pair-copula constructions", accepted for publication in Journal of Multivariate Analysis, 2011
  • Orskaug E., Scheel I., Frigessi A., Guttorp P., Haugen J.E, Tveito O.E., Haug O.,"Evaluation of a dynamic downscaling of Norwegian precipitation", Tellus A, Volume 63, Issue 4, pages 746-756, August 2011.
  • Martino, Sara, Aas, Kjersti, Lindqvist, Ola, Neef, Linda R. and Rue, Håvard: Estimating Stochastic Volatility Models Using Integrated Nested Laplace Approximations , European Journal of Finance, Volume 17, Issue 7, 2011.
  • Frigessi, A.; Løland, A.; Pievatolo, A. and Ruggeri, F., "Statistical rehabilitation of improper correlation matrices", Quantitative Finance, Vol. 11, Issue 7, June 2011, pp. 1081-1090.
  • Haug, O.; Dimakos, X. K.; Vårdal, J. F.; Aldrin, M. and Meze-Hausken, E., "Future building water loss projections posed by climate change", Scandinavian Actuarial Journal, Volume 2011, Issue 1, 2011.
  • Ferkingstad, Egil; Løland, Anders; Wilhelmsen, Mathilde (2011): Causal modeling and inference for electricity markets [Preprint]. Energy Economics, Vol. 33, Issue 3, May 2011, pp. 404-412.
  • Holden, Lars; Løland, Anders and Lindqvist, Ola: "Valuation of long term, flexible gas contracts", Journal of Derivatives, Vol. 18, Number 3, Spring 2011.
  • Cooke, Roger, Joe Harry and Aas, Kjersti, "Vines Arise", In DEPENDENCE MODELING: Handbook on Vine Copulae , D. Kurowicka and Harry Joe (eds.), World Scientific Publishing Co., February 2011.
  • Aas, Kjersti and Berg, Daniel, "Modelling dependence between financial returns using pair-copula constructions", In DEPENDENCE MODELING: Handbook on Vine Copulae , D. Kurowicka and Harry Joe (eds.), World Scientific Publishing Co., February 2011.

    2010

  • Reitan, Trond and Aas, Kjersti: A New Robust Importance Sampling Method for Measuring VaR and ES Allocations for Credit Portfolios, Journal of Credit Risk, Vol 6, No. 4, December 2010.
  • Wilhelmsen, Mathilde, Dimakos, Xeni K., Husebø, Tore A. and Fiskaaen, Marit: Bayesian modelling of credit risk using Integrated Nested Laplace Approximations". In Rethinking Risk Management and Reporting: Measurement, Uncertainty, Bayesian Analysis and Expert Judgement,Klaus Böcker (Ed.), Risk Books, London, 2010,
  • Hobæk Haff, Ingrid, Aas, Kjersti and Frigessi, Arnoldo: On the simplified pair-copula construction - simply useful or too simplistic? , Journal of Multivariate Analysis, 101(5), 1296-1310, 2010.
  • Løland, Anders and Dimakos, Xeni K.: "Modelling Nord Pool's NO1 area price", Journal of Energy Markets, 3(1), 2010.
  • Dakovic, Rada, Czado, Claudia and Berg, Daniel: Bankruptcy prediction in Norway: a comparison study, Applied Economics Letters Volume 17, Issue 17, 2010.

    2009

  • Berg, Daniel: Copula goodness-of-fit testing: An overview and power comparison, European Journal of Finance, 15 (7/8), 675-701 2009.
  • Berg, Daniel and Aas, Kjersti: Models for construction of multivariate dependence, European Journal of Finance, 15 (7/8), 639-65, 2009.
  • Quessy, Jean-Francois and Berg, Daniel: Local sensitivity analyses of goodness-of-fit tests for copulas, Scandinavian Journal of Statistics 36, p. 389-412, 2009.
  • Hobæk Haff, Ingrid; Lindqvist, Ola, Løland, Anders: Risk Premium in the UK Natural Gas Forward Market, Energy Economics, 30(5), 2420-2440, September 2008.
  • Aas, Kjersti, Czado, Claudia, Frigessi, Arnoldo and Bakken, Henrik: Pair-copula constructions of multiple dependence , Insurance: Mathematics and Economics, 44 (2), 2009.

    Before 2009

  • Aas, Kjersti, Dimakos, Xeni K and Øksendal, Anders: Risk Capital Aggregation , Risk Management 9(2), April 2007.
  • Berg, Daniel Bankruptcy Prediction by Generalized Additive Models . Applied Stochastic Models in Business and Industry 23(2), 129-143, 2007.
  • Aas, Kjersti and Hobæk Haff, Ingrid: The Generalised Hyperbolic Skew Student’s t-distribution . Journal of Financial Econometrics, 4(2), March 2006.
  • Aas, Kjersti, Hobæk Haff, Ingrid and Dimakos Xeni K: Risk Estimation using the Multivariate Normal Inverse Gaussian Distribution, Journal of Risk, 8(2), Winter 2005.
  • Dimakos, X. K. and Aas, K, Integrated risk modeling, Statistical modeling, Vol. 4,1-13, 2004.
  • Aas, K. and Kåresen, K., The Matrix, Energy Power Risk Management, 9(4), 2004.
  • Frigessi, A., Haug, O. and Rue, H., A dynamic mixture model for unsupervised tail estimation without threshold selection, Extremes , 5, 219-235, 2003.
  • Kåresen, K. and Husby, E., A joint state-space model for spot and futures prices, Energy Power Risk Management, 7(8), 2002.

    Recent international presentations

  • Aas, Kjersti: "Pair-copula constructions:" at 4th Annual Conference on Extreme Events at the University of Stavanger (UiS) Business School in Stavanger on August 25-26, 2011.
  • Aas, Kjersti: "Pair-copula constructions: Even more flexible than copulas", workshop on Copula Models and Dependence Montréal, June 6-9, 2011.
  • Aas, Kjersti: "Faster simulation of C- and D-vines", 4th Workshop on Vine Copula Distributions and Applications Munich May 11, 2011.
  • Hobæk Haff, Ingrid: "Comparison of estimators for Pair-Copula Constructions, 4th Workshop on Vine Copula Distributions and Applications Munich May 11, 2011.
  • Orskaug, Elisabeth; Scheel, Ida; Frigessi, Arnoldo; Guttorp, Peter; Haugen Jan Erik; Tveito, Ole Einar; and Haug, Ola: "Evaluation of a dynamic downscaling of precipitation over the Norwegian mainland", Workshop on Statistical approaches to down- and upscaling in climate models. 27-29 April, 2011, in Lund, Sweden.
  • Haug, Ola; Orskaug, Elisabeth; Scheel, Ida; Frigessi, Arnoldo; Guttorp, Peter; and Maraun, Douglas: "Calibrating dynamically downscaled precipitation using the Doksum shift function", Workshop on Statistical approaches to down- and upscaling in climate models. 27-29 April, 2011, in Lund, Sweden.
  • Hobæk Haff, Ingrid at Young Researchers Day , The Université catholique de Louvain, Belgium, September 24th, 2010.
  • Hobæk Haff, Ingrid at The 7th Conference on Multivariate Distributions with Applications , Maresias, Brazil August 8 - 13, 2010.
  • Aas, Kjersti at The 7th Conference on Multivariate Distributions with Applications , Maresias, Brazil August 8 - 13, 2010.
  • Haug, Ola at International Symposium on Business and Industrial Statistics 2010 July 6.-9 2010, Portoroz, Slovenia.
  • Orskaug, Elisabeth and Haug, Ola at 11th International Meeting on Statistical Climatology July 12.-16. 2010, Edinburgh, Skottland.
  • Løland, Anders at NORDSTAT 2010 at Voss, Norway, June 2010.
  • Wilhelmsen, Mathilde at NORDSTAT 2010 at Voss, Norway, June 2010.
  • Ferkingstad, Egil; Løland, Anders at Workshop on Causal Modelling, The Norwegian Academy of Science and Letters, Oslo, Norway, 21. September, 2009.
  • Aas, Kjersti at Workshop on High-dimensional Extremes , Lausanne, 14-18 September 2009.
  • Aas, Kjersti at 3rd European Risk Conference: "Risk and Accounting", London 3-4 September 2009.
  • Haug, Ola at Nordic Summer School in Actuarial Science , Klækken, Norway, August 23-28, 2009.
  • Haug, Ola at TIES 2009 - GRASPA 2009 Conference, Bologna, Italy, 9. July, 2009.
  • Løland, Anders at the workshop "Price and decision support modeling in electricity markets", Trondheim, February 13th, 2009.
  • Hobæk Haff, Ingrid at the workshop 2nd Vine Copula Workshop, Delft, 16-17 December 2008.
  • Grønneberg, Steffen at the workshop 2nd Vine Copula Workshop, Delft, 16-17 December 2008.
  • Aas, Kjersti at the workshop 2nd Vine Copula Workshop, Delft, 16-17 December 2008.
  • Løland, Anders at Modelling & Measuring Energy Risk on the Nord Pool Market in Stockholm, 2-3 December 2008 .
  • Haug, Ola at INSURING FUTURE CLIMATE CHANGE - Preparing and acting today, A European conference for the insurance sector in Oslo, November 3rd, 2008.
  • Aas, Kjersti at Risk Magazine training course A Quantitative Approach to Calculating and Applying VaR , London, October 3rd, 2008.
  • Aas, Kjersti at Bernoulli Society - IMS WORLD CONGRESS IN PROBABILITY AND STATISTICS 2008 , Singapore, July 14, 2008.
  • Haug, Ola at ASTIN 2008 in Manchester, July 14th, 2008.
  • Berg, Daniel at The 2nd International R/Rmetrics User and Developer Workshop: Computational Finance and Financial Engineering in Meielisalp, Switzerland, June 29th to July 3rd, 2008.
  • Berg, Daniel at NORDSTAT 2008 in Vilnius, June 18, 2008.
  • Hobæk Haff, Ingrid at NORDSTAT 2008 in Vilnius, June 18, 2008.
  • Aas, Kjersti at NORDSTAT 2008 in Vilnius, June 18, 2008.
  • Aas, Kjersti at Workshop on Copulae: Theory and Praxis , Berlin Desember 7-8, 2007.
  • Aas, Kjersti at Vine copula workshop , Delft, November 19-20, 2007.
  • Løland, Anders, Hobæk Haff, Ingrid, and Aas Kjersti at the Energyforum workshop Nordic Modelling & Measuring Energy Risk , Oslo, September 28, 2007.
  • Lindqvist, Ola at the Energyforum conference Nordic Modelling & Measuring Energy Risk , Oslo, September 26, 2007.
  • Aas, Kjersti at the Energyforum conference Nordic Modelling & Measuring Energy Risk , Oslo, September 26, 2007.
  • Hobæk Haff, Ingrid, at the workshop Copulae and multivariate return distributions in finance-Theory, Applications, Opportunities and Problems, Warwick Business School, September 14-15, 2007.
  • Berg, Daniel at the workshop Copulae and multivariate return distributions in finance-Theory, Applications, Opportunities and Problems, Warwick Business School, September 14-15, 2007.
  • Aas, Kjersti at the workshop Copulae and multivariate return distributions in finance-Theory, Applications, Opportunities and Problems, Warwick Business School, September 14-15, 2007.
  • Aas, Kjersti at Risk Magazine training course A Quantitative Approach to Calculating and Applying VaR , London, September 4th, 2007.
  • Aas, Kjersti at Risk Aggregation Seminar, Oslo, August 30, 2007.
  • Berg, Daniel, "Goodness-of-fit testing of copulas", (sfi)2 Workshop on Quantitative Risk Management , Oslo, April 24, 2007.
  • Aas, Kjersti, "Pair-copula constructions of multiple dependence", (sfi)2 Workshop on Quantitative Risk Management , Oslo, April 24, 2007.
  • Aas, Kjersti, "Risk Estimation using the Multivariate Normal Inverse Gaussian Distribution", International Workshop on Computational and Financial Econometrics Geneva, April 21, 2007.
  • Aas, Kjersti, "Pair-copula constructions of multiple dependence", Workshop on Copulas, Lévy processes and Lévy copulas, with applications to financial modelling , München, November 24, 2006.
  • Berg, Daniel, "A Copula Goodness-of-fit Test Based on the Probability Integral Transform", Workshop on Copulas, Lévy processes and Lévy copulas, with applications to financial modelling , München, November 24, 2006.
  • Lindqvist, Ola, "Risk premium in the forward market", Risk Manager 2007 in the Nordic Energy Market , Stockholm, November 22, 2006.
  • Aas, Kjersti, "Methodological developments in the analysis of financial risk called for by industry needs", Swiss Banking Institute , University of Zürich November 7th, 2006.
  • Aas, Kjersti, "Methods of improving assessment of portfolio risk using the multivariate NIG", Risk Magazine's Quant Congress USA 2006, New York July, 13, 2006.
  • Berg, Daniel, "A Copula Goodness-of-fit Test Based on the Probability Integral Transform", 21st Nordic Conference on Mathematical Statistics,14th June 2006.
  • Berg, Daniel, "A Copula Goodness-of-fit Test Based on the Probability Integral Transform", International Conference on High Frequency Finance , 19th May 2006.
  • Aas, Kjersti, "The Agder Energi Model for Simulation of The Nordic Electricity Spot Prices", Price Drivers on the Nord Pool Market , Stockholm, April 27, 2006.
  • Aas, Kjersti and Hobæk Haff, Ingrid: The Generalised Hyperbolic Skew Student’s t-distribution, International Conference on Finance , Copenhagen, 2-4 September 2005.

    • Recent technical reports

  • Sætre, Tormod: "Modeling collateralized debt obligations: A copula approach", SAMBA/25/07, June, 2007.
  • Aas, Kjersti, Czado, Claudia, Frigessi, Arnoldo and Bakken, Henrik: Pair-copula constructions of multiple dependence , SAMBA/24/06, August 2006.
  • Berg, Daniel and Bakken, Henrik: A Goodness-of-fit Test for Copulae Based on the Probability Integral Transform. SAMBA/41/05, December 2005.
  • Aas, Kjersti, Dimakos, Xeni K and Øksendal, Anders: Risk Capital Aggregation SAMBA/40/05,December, 2005.
  • Aas, Kjersti: The Basel II IRB approach for credit portfolios: A survey SAMBA/33/05, October, 2005.
  • Bakken, Henrik: Copulae: Basic theory, goodness-of-fit tests and Vines. SAMBA/19/05, June 2005.
  • Aas, Kjersti and Hobæk Haff, Ingrid: Modelling a portfolio of financial assets of several different types. SAMBA/24/05, August, 2005.
  • Aas, Kjersti and Hobæk Haff, Ingrid: NIG and Skew Student's t: Two special cases of the Generalised Hyperbolic Distribution. SAMBA/01/05, January, 2005.
  • Berg, Daniel: Bankruptcy Prediction by Generalized Additive Models. SAMBA/30/04, December 2004.
  • Aas, Kjersti: Modelling the dependence structure of financial assets: A survey of four copulas. SAMBA/22/04, December, 2004.
  • Aas, Kjersti: Modelling the stochastic behaviour of short-term interest rates: A survey. SAMBA/21/04, September, 2004.
  • Gravås, Petter, Swing Option Valuation Using Monte Carlo Simulations. SAMBA/16/04.
  • Aas, Kjersti and Dimakos, Xeni K.: Statistical modelling of financial time series: An introduction. SAMBA/08/04, March, 2004.
  • Aas, Kjersti: To log or not to log: The distribution of asset returns. SAMBA/03/04, September, 2004.

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