Kjersti Aas's home page

Kjersti Aas

Dr. Philos
Assistant Research Director
Department of Statistical Analysis, Image Analysis and Pattern Recognition.
Norwegian Computing Center ,
Gaustadalléen 23,
P.O. Box 114 Blindern,
N-0314 Oslo,
Norway
Tel: (+47) 22 85 25 00
Fax: (+47) 22 69 76 60
Kjersti.Aas@nr.no

Positions:

  • Assistant research director in the department of Statistical Analysis, Pattern Recognition and Image Analysis (SAMBA) at the Norwegian Computing Center. Head of research and marketing for the area : Statistical Analysis for the finance, insurance and commodity markets.
  • Member of the Board of Directors of MP pensjon from January 2008
  • Part-time professor at the University of Bergen from February 2011

    Press (In Norwegian):

  • Hvorfor så forskjellig i bank og forsikring? Finansavisen, 22. desember, 2011.
  • Ekstremvær, Bolt og børsfall , Dagens Næringsliv, 21. september, 2011.
  • Stor formue - flaks eller dyktighet , Kapital 18/10, 22. oktober 2010.
  • Intervju i boken TALENTER PÅ SPILL: Eksempler på god forskningsledelse ,utgitt av Komité for integreringstiltak - kvinner i forskning 07-10.
  • Intervju i Internrevisoren (medlemsbladet til Norges Interne Revisorers Forening), nr 1, 2009 (publisert 14. juli 2009).
  • Veldig lettvint av Oljefondet Intervju i Dagens Næringsliv 16. mars, 2009.
  • Risiko og krise Kommentar i Dagens Næringsliv 16. mars, 2009.
  • Ingen fri lunsj mer? Kommentar i Dagens Næringsliv 9. mars, 2009.
  • Hvor mange sorte svaner? Kommentar i Dagens Næringsliv 13. desember, 2008.
  • Historie og framtid kredittkommentar i Dagens Næringsliv 7. april, 2008.
  • Tvangssalg i aksjemarkedet, kredittkommentar i Dagens Næringsliv 11. februar, 2008.
  • Nye metoder - nye svar , kredittkommentar i Dagens Næringsliv 26. november, 2007.
  • Krakket som ikke kunne skje , intervju i Dagens Næringsliv 19. oktober, 2007.
  • Jernkontroll på risikoen, intervju i Byens Næringsliv 19/09/07.
  • Slik takler du risikofellene, intervju i Ukeavisen Ledelse 07/09/07.
  • Bankene bedre rustet mot tap, intervju i Ukeavisen Ledelse 28/08/07.
  • Bankene bedre rustet mot tap, intervju i Økonomisk Rapport 28/08/07.
  • Bankene bedre rustet, innlegg på forskning.no 27. august, 2007.
  • "K-ordet", omtale i Kapital 05/2007, 26. mars 2007.
  • "Er krakket rett rundt hjørnet?", intervju i Økonomisk Rapport 03/07, 15. februar.2007.
  • Ser ikke rasfaren , intervju i Kapital 16/05, 22.09.2005.
  • Sannsynligheten for et nytt børskrakk er kanskje større enn man tror , innlegg på forskning.no 13. september, 2005.

    International journal papers 2004-2011:

  • Günther, Clara-Cecilie, Tvete, Ingunn Fride, Aas, Kjersti and Borgan, Ørnulf: Modelling and predicting customer churn from an insurance company, Forthcoming in Scandinavian Actuarial Journal.
  • Brechmann, Eike C., Czado, Claudia, Aas, Kjersti: Truncated regular vines in high dimensions with application to financial data , Canadian Journal of Statistics, Vol. 40, pp 68-85, No. 1, 2012.
  • 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.
  • 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.
  • 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, p. 1-37, 2010/2011.
  • 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.
  • Berg, Daniel and Aas, Kjersti: Models for construction of multivariate dependence, European Journal of Finance, 15 (7/8),639-659, 2009.
  • Aas, Kjersti: Discussion of ``Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations,'' by H. Rue, S. Martino and N. Chopin. JRSS-B, 71, Part2, 2009.
  • Aas, Kjersti, Czado, Claudia, Frigessi, Arnoldo and Bakken, Henrik: Pair-copula constructions of multiple dependence , Insurance: Mathematics and Economics, Vol. 44, No. 2, 2009 (doi:10.1016/j.insmatheco.2007.02.001).
  • Aas, Kjersti, Dimakos, Xeni K. and Øksendal, Anders: Risk Capital Aggregation , Risk Management 9(2) , April 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 2005/2006.
  • 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.

    International conference presentations 2005-2011

  • Invited speaker at Mini symposium on perspective research directions in complex stochastic structures , Eötvös Loránd University, Budapest, March 19, 2012.
  • Invited speaker at the 4th Annual Conference on Extreme Events at the University of Stavanger (UiS) Business School in Stavanger on August 25-26, 2011.
  • Invited speaker at the workshop on Copula Models and Dependence Montréal, June 6-9, 2011.
  • Invited speaker at the 4th Workshop on Vine Copula Distributions and Applications Munich May 11-12, 2011.
  • Invited speaker at the workshop Extreme Value Theory (EVT) & Copula Functions , London, April 5th, 2011 (the workshop was cancelled).
  • Invited speaker at the seminar Climate Policy, Enterprise Risk and Energy Investment, London, November 22-23, 2010.
  • Invited sesssion organizer at The 7th Conference on Multivariate Distributions with Applications , Maresias, Brazil August 8 - 13, 2010.
  • Invited speaker at Workshop on High-dimensional Extremes , Lausanne, 14-18 September 2009,
  • Speaker at 3rd European Risk Conference: "Risk and Accounting", London 3-4 September 2009.
  • Invited speaker at 2nd Vine Copula Workshop, Delft, 16-17 December 2008
  • Invited speaker at Grieg Investor finansseminar, Copenhagen, November 1st, 2008.
  • Invited speaker at the Risk Magazine training course A Quantitative Approach to Calculating and Applying VaR , London, October 3rd, 2008.
  • Invited speaker at Bernoulli Society - IMS WORLD CONGRESS IN PROBABILITY AND STATISTICS 2008 , Singapore, July 14, 2008.
  • Invited plenary speaker at NORDSTAT 2008 in Vilnius, June 18, 2008.
  • Invited to chair the "Statistics in Finance" section at NORDSTAT 2008 in Vilnius, June 17, 2008.
  • Invited speaker at Workshop on Copulae: Theory and Praxis , Berlin Desember 7-8, 2007.
  • Invited speaker at Vine copula workshop , Delft, November 19-20, 2007.
  • Invited speaker at "Alumnidag ved IMF", NTNU, Trondheim, October 26, 2007.
  • Invited speaker at the Energyforum workshop Modelling and pricing in energy markets , Oslo, September 28, 2007.
  • Invited speaker at the Energyforum conference Nordic Modelling & Measuring Energy Risk , Oslo, September 26, 2007.
  • Speaker at the workshop Copulae and multivariate return distributions in finance-Theory, Applications, Opportunities and Problems, Warwick Business School, September 14-15, 2007.
  • Invited speaker at Risk Magazine training course A Quantitative Approach to Calculating and Applying VaR , London, September 4th, 2007.
  • Speaker at Risk Aggregation Seminar, Oslo, August 30, 2007.
  • Speaker at (sfi)2 Workshop on Quantitative Risk Management , Oslo, April 24, 2007.
  • Invited speaker at International Workshop on Computational and Financial Econometrics , Geneve, April 21 2007.
  • Invited speaker at Workshop on Copulas, Lévy processes and Lévy copulas, with applications to financial modelling University of Münich, November 24, 2006.
  • Invited speaker at Econometrics Seminar Swiss Banking Institute , University of Zürich, November 7, 2006.
  • Invited speaker at the conference Risk Magazine's Quant Congress USA 2006 in New York July 12, 2006.
  • Invited speaker at the conference Price Drivers on the Nord Pool Market in Stockholm April 27, 2006.
  • Speaker at International Conference on Finance , København, 2-4 september 2005.

    • Courses, workshops and seminars (most in Norwegian)

  • 3rd Vine Copula Workshop, 15-16 December 2009.
  • Risk Aggregation Seminar, Oslo, August 30, 2007.
  • (sfi)2 Workshop on Quantitative Risk Management , Oslo, April 24, 2007.
  • Statistisk analyse av energipriser
  • Totalrisikomodellering og Basel II
  • Statistiske metoder for analyse av finansielle data
  • Modellering av totalrisiko
  • Fagseminar om copulas
  • Statistisk Analyse av Finansielle Tidsrekker.

    • Supervisions

  • Lydia Silvana Larsen (2011-2012), Master of Science, University of Bergen.
  • Ingrid Sandvig Thorsen (2011-2013), Master of Science, University of Bergen.
  • Helene Aardal (2011-2013, Master of Science, University of Bergen.
  • Elisabeth Orskaug (2009), Multivariate DCC-GARCH models with different error distributions, Master of Science, NTNU.
  • Tormod Sætre (2007), Modeling collateralized debt obligations: A copula approach, Master of Science, NTNU.
  • Henrik Bakken (2005), Copulae: Basic Theory, Goodness-of-Fit Tests and Vines, Master of Science, NTNU.
  • Petter Gravås (2004), Swing Option Valuation Using Monte Carlo Simulations, Master of Science, NTNU.
  • Steffen Grønneberg (2007-2011), New estimation methods and model selection criterias for copulas, PhD, University of Oslo.
  • Ingrid Hobæk Haff (2008-2012), Pair-copula constructions - theory and applications, PhD, University of Oslo.
  • Daniel Berg (2004-2007), Statistical Analysis of Credit Risk, PhD, University of Oslo.

    • A selection of scientific reports:

  • Aas, Kjersti and Dimakos, Xeni K.: Statistical modelling of financial time series: An introduction. SAMBA/08/04, March, 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.
  • Aas, Kjersti: To log or not to log: The distribution of asset returns. SAMBA/03/04, September, 2004.
  • Aas, Kjersti and Hobæk Haff, Ingrid: NIG and Skew Student's t: Two special cases of the Generalised Hyperbolic Distribution. SAMBA/01/05, Januar, 2005.
  • Aas, Kjersti and Hobæk Haff, Ingrid: Modelling a portfolio of financial assets of several different types. SAMBA/24/05, August, 2005.
  • Aas Kjersti: The Basel II IRB approach for credit portfolios: A survey SAMBA/33/05, Oktober, 2005.

    • All publications:

    Before November 2011

    After November 2011

    Customers:

    I have since 2001 been head of research and marketing for the area : Statistical Analysis for the Finance, Insurance and Commodity markets. at NR. Here is a list of NRs customers in this area.

    Previous research areas:

    I have also long experience in the following fields:

  • Image Analysis:
    • Document analysis, Biometric recognition, Machine vision
  • Video Analysis:
    • Video Surveillance, Tracking, Video indexing
  • Pattern Recognition:
    • Hidden Markov Chain Models
  • Knowledge Mining:
    • Data Mining, Text Mining, Multimedia Mining
  • Intelligent Agents:
    • News filtering agents

    Why study mathematics? (in Norwegian)

    11 grunner til å velge matte.

    Recreation

    Cross-country skiing
    Mountain climbing