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15-10-2010
I RIO er der lavet en kategori af lånefunktioner, som gør det muligt at regne på forskellige typer lån i det danske realkredit marked, som f.eks. fastforrentede obligationslån, ...
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21-01-2010
Price Danish floating rate mortgage bonds including capped floaters and callable CMS ratchet floaters.Supports stochastic amortization, interestonly periods, call option at 105, non ...
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01-10-2009
Scanrates RIO 4.4 features a new modeling framework covering a wide range of interest rate deriv-atives and term structure models. The LIBOR Market and the one-factor term structure ...
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01-10-2009
The RIO Calculation Server offers the ability to split up large calculations and compute the results in parallel. The server provides a seamless integration with all the interfaces to ...
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01-10-2009
The Scanrate RIO.Net assembly allows programmers to customize their calculations to the fullest extent, by exposing the inner workings of the RIO system directly to the programmer. The ...
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28-10-2008
RIO4 from Scanrate is an advanced bond valuation and risk measurement system which includes a full range of benchmark models for the large Danish mortgage bond market. RIO4 provides ...
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28-10-2008
The RIO Function Library is an Excel based interface to the RIO calculation server and is characterised by path-breaking flexibility provided by a unique Function Wizard. RIO Function ...
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30-03-2008
ScanRate Scheduler, SRS from Scanrate is an advanced Task Management and Scheduling System. SRS provides the System Administrator with centralized management and logging for an ...
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14-04-2004
The ScanRate Prepayment and Valuation Service consists of the SPView software, Quarterly Updates of the model parameters and the Technical Description of the estimation and valuation ...
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03-06-2003
Via Scanrates SimCorp Dimension integration til RIO kan brugere af SimCorp Dimension få adgang til RIOs modeller og nøgletal på danske realkreditobligationer direkte i Dimension.
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02-12-2005
We extend a well-known structural jump-diffusion model for credit risk to handle both correlations through diffusion of asset values and common jumps in asset value. Through a ...
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29-03-2005
We take an asset-pricing approach to model the funding advantage of Government Sponsored Enterprises (GSEs) such as Fannie Mae and Freddie Mac. In order to replicate stylized facts, we ...
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25-02-2005
In April 2004, JP Morgan introduced the notion of base correlations, a novel approach to quoting correlations for synthetic CDO tranches. This approach facilitates a simple relative ...
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26-08-2004
Structural models of credit risk predict that certain firm and market features (leverage, volatility, risk-free rates) determine the price of credit-risky bonds. Unlike previous ...
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29-01-2004
We investigate the effect of adding a distinct feature from the Danish mortgage market to the US market, namely a buyback option, which enables mortgagors to buy back their share of the ...
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12-12-2002
This paper proposes a new valuation model for fixed-rate mortgage-backed securities which may be able to determine the price, option-adjusted spread, and option-adjusted duration ...
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12-12-2002
Svend Jakobsen, Prepayment and the Valuation of Mortgage Backed Bonds, Ph.D. Thesis, The Aarhus School of Business, 1992. The purpose of the thesis is to develop and test a pricing ...
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12-12-2002
This paper investigates the computation of Value-at-Risk (VaR) measures for mortgage backed securities (MBSs) using data for the Danish MBS market. The current RiskMetrics proposal from ...
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12-12-2002
This paper proposes a new nonparametric approach to the problem of interfering term structure estimates using coupon bond prices. The nonparametric estimator is defined on the basis of ...
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12-12-2002
This paper investigates hedging performance of misspecified models. Rather than constructing super-replicating strategies this paper suggests quantifying the hedging error by ...
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12-12-2002
In this paper we consider the computation of state-prices in one-factor termstructure models. The contingent claim valuation problem is solved using the efficient method of finite ...
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12-12-2002
In this paper we consider the application of control variates to the Monte-Carle valuation of American options. The main idea of the paper is to sample control variates at the exercise ...
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12-12-2002
In this paper we suggest two improvements to the Least-Squares Monte-Carlo approach of Longstaff & Schwartz (2001). Both focus on the accuracy and stability of the exercise strategy ...
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12-12-2002
In this paper we study and implement a finite difference version of the augmented state variable approach proposed by Hull & White (1993) that allows for pathdependent securities. ...
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12-12-2002
In this paper we analyze the mortgage choice faced by Danish borrowers. Based on an analysis of the most popular Danish mortgage products, we argue that Adjustable-Rate Mortgages (ARM) ...
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12-12-2002
This paper concerns the problem of valuing Bermudan swaptions in a Libor market model. In particular we consider various efficiency improvement techniques for a Monte Carlo based ...
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12-12-2002
In this paper we examine the cost of using recalibrated single-factor models to determine the exercise strategy for Bermudan swaptions in a multi-factor world. We demonstrate that ...
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23-05-2011
On May 5th Scanrate partner Svend Jakobsen was invited by the EIOPA Financial Requirements Expert TP Subgroup in Frankfurt to comment on the Solvency II / Quantitative Impact Study ...
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03-08-2007
Under folketingets forhandlinger om den nye SDO lov blev der fra mange sider udtrykt frygt for, at de traditionelle realkreditlån fremover ville blive udkonkurreret af nye og dyrere ...
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01-07-2004
De seneste års store succes for rentetilpasningslån og afdragsfrie lån har betydet, at det danske realkreditsystem er blevet mere eksponeret overfor rentestigninger og faldende priser ...
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09-02-2004
Hos realkreditinstituttet kan låntager i dag vælge kuponrente, traditionelle konverterbare lån eller inkonverterbare rentetilpasningslån, om lånet skal optages som obligationslån eller ...
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21-01-2003
Denne artikel giver en introduktion til de modeller for låntagernes konverteringsadfærd, som ligger bag prisfastsættelsen og risikovurderingen af danske konverterbare ...
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15-05-2012
The purpose of this document is to give the reader an overview of the swap functions located in the Interest Rate Derivate category in RIO. Using this document should help the user to ...
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