Apr-2012
The theme of the release deals with improving calibration of the term structure of interest rates.
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Apr-2012
The 12Q2 re-estimated SPV model is available in the DMBS Calculation setup starting Monday, 23 April 2012.
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Mar-2012
The RIO System will support the new type of inflation-linked bonds scheduled by the Danish National Bank.
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Mar-2012
Solvency II introduces new guidelines for the measurement of interest rate risk of bond portfolios as well as actuarial provisions. In close cooperation with our clients in the pension and insurance sector, Scanrate has updated our software and service offerings to accommodate the new rules and regulations.
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Mar-2012
The current edition of the ScanRate Prepayment and Valuation Service, 12Q2, is now available.
See the full story to the theme in this release, and browse introductions to themes in prior releases.
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Jan-2012
A new prepayment model (M7) is introduced in this quarterly update.
The theme this time concerns choice of pricing curve used for discounting.
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Jan-2012
The 12Q1 re-estimated SPV model is available in the DMBS Calculation setup starting Monday, 23 January 2012.
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Oct-2011
In this release we deal with estimation methods for pricing and fixing curves. We estimate using different methods and compare the results. Finally, we look at the price effect when using two curves in valuation of floating rate bonds.
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Oct-2011
The 11Q4 re-estimated SPV model is available in the DMBS Cacluclation setup starting Monday, 17 October 2011.
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Jul-2011
In this edition fair value pricing for high coupon bonds (8% - 12%) is investigated. The analysis is a continuation of the work from the theme of SPV 09Q2.
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Jul-2011
The 11Q3 re-estimated SPV model is available in the DMBS Cacluclation setup starting Monday, July 18th 2011.
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May-2011
A video by the Association of Danish Mortgage Banks highlights the benefits of the Danish Mortgage Model.
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Apr-2011
In our series about Fixed-to-Float prepayments we have reached the historical estimation of the model. It is unfortunately difficult to distinguish this type of prepayments in the estimation sample.
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Apr-2011
The 11Q2 re-estimated SPV model is available in the DMBS Cacluclation setup starting Tuesday, April 26th 2011.
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Mar-2011
RIO 4.6 introduces a new table structure that enables time consistent calculations of historical keyfigures.
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Jan-2011
The theme suggests extensions of the current prepayment model to incorporate borrowers switching from fixed rate loans to floating rate loans. As an indicator of the level of transistion the slope of the yield curve is used to forecast this movement. Although promising results are found further investigation must be carried out before the model can be included in the standard SPV models.
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Jan-2011
The 11Q1 re-estimated SPV model is available in the DMBS Cacluclation setup starting Monday, January 17th 2011.
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Dec-2010
Debatten og rådgivningen om boliglån fokuserer alt for meget på første års ydelse og alt for lidt på de øvrige egenskaber ved lånene. Med Boligregner.dk håber den århusianske virksomhed Scanrate Financial Systems A/S at bringe nuancerne ind i debatten.
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Dec-2010
Boligregner.dk is a free online mortgage loan calculator allowing Danish homeowner access to scenario analysis for the full range of mortgage loans available in the Danish market.
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Oct-2010
Scanrate releases version 4.5 of RIO and RIO Function Library. This version relaunches the loan functions, which are designed for liability management applications and mortgage advisory services. Additionally a new calibation method for yield curve shifts is introduced.
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Oct-2010
The DMBS prepayment model has been re-estimated.
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Oct-2010
In the theme of this release we analyse market data in an attempt to identify indicators of Fixed-to-float prepayment
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Jul-2010
In the theme of this release we analyse the option adjusted spreads generated in the DMBS model.
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Jul-2010
The quarterly update of the DMBS model on 19 July 2010 introduces a new specification of the burnout function and a change to the estimation procedure.
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Jul-2010
The DMBS prepayment model has been re-estimated.
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Apr-2010
In the theme of this release we introduce a new preliminary redemption model
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Apr-2010
The prepayment model has been re-estimated and the new model will be used in the DMBS calculation setup starting on Monday, April 19th, 2010.
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Feb-2010
ScanRate has released version 4.4.4 of RIO and RIO Function Library.
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Jan-2010
Mindsterentereglen ophæves således at privates gevinst og tab på obligationer beskattes. De nye regler understøttes i den næste version af RIO
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Jan-2010
In the theme of this release we oncorporate interest only bonds in the prepayment modelling of the DMBS model
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Jan-2010
The prepayment model has been re-estimated and the new model will be used in the DMBS calculation setup starting on Monday, January 18th, 2010.
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Jan-2010
The calculation algorithm for Ref OA Spread has been improved for non-callable mortgage bonds (rentetilpasningslån).
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Oct-2009
In the theme of this release we have revised the procedure used to assess the development in the amounts of mortgage loans within different bond types
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Oct-2009
The prepayment model has been re-estimated
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Oct-2009
Version 4.4 of the RIO System is released. The headlines of this major release is a complete new set of functions for evaluating interest rate derivatives and a new set of functions to calculate on loans as seen from a borrower perspective
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Sep-2009
A few changes will be applied to the DMBS display template
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Sep-2009
Scanrate flytter per 1.9.2009 til IT Huset, Katrinebjerg.
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Jul-2009
In the theme of this release we evaluate the performance of the model for bonds with semi-annual payments.
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Jul-2009
The DMBS model has been re-estimated
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Apr-2009
In the theme of this release we analyze various models which may be used in connection with fair value pricing.
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Apr-2009
The DMBS Model has been re-estimated
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Jan-2009
In the theme of this release we analyze various modifications to the prepayment function and examine their performance.
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Jan-2009
The DMBS prepayment model has been updated
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Nov-2008
As a consequence of the diminishing number of official prices from OMX the price source used in calculation of key figures has been changed
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Nov-2008
Several improvements to the DMBS service
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Oct-2008
ScanRate has released version 4.3.4 of RIO and RIO Function Library.
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Oct-2008
Quarterly Update of the DMBS Model
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Oct-2008
The theme of this release concerns the use of mean reverting loan yield spreads in the pricing models.
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Sep-2008
ScanRate has released version 4.3.3 of RIO and RIO Function Library.
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Jul-2008
In the July 2008 SPV release we take a look at the estimation of Danish yield curves with main focus on the selection of input data.
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Jul-2008
Quarterly update of the DMBS model
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May-2008
ScanRate has released version 4.3.2 of RIO and RIO Function Library.
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Apr-2008
In the April 2008 SPV release we develop a prepayment model for bonds that have just opened and thus have no debtor information yet.
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Apr-2008
Quarterly update of the DMBS model
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Apr-2008
BRF lancerede 9. april 2008 en ny låntype, Rentefaldslån. RIO kan regne på obligationen i LIBOR Market modellen.
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Jan-2008
In the SPV January 2008 release we develop a prepayment model for a subset of bonds for which we do not have published debtor distributions.
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Jan-2008
A new version of RIO and RIO Function Library has been released. The major news in this version is the introduction of Libor Market models.
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Jan-2008
The ScanRate & Reuters Danish MBS Model has been updated, Monday, January 21th, 2008
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Dec-2007
I en ny artikel i tidsskriftet Finans/Invest diskuteres forskellige forslag til reduktion af indlåsningseffekter på danske boliglån.
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Oct-2007
In the SPV October 2007 release a new preliminary redemption is introduced, and its performance is evaluated with good results.
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Oct-2007
The ScanRate & Reuters Danish MBS Model has been updated, Monday, October 29th, 2007
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Oct-2007
RD har dags dato (1. oktober 2007) lanceret en ny type realkreditlån, RenteDyk™, hvor kuponen ikke kan stige, men hvor kuponrenten nedsættes ved rentefald. Denne artikel viser hvordan man sætter RD's nye obligationen op med henblik på at analysere deres egenskaber indenfor rammerne af RIO's Libor Market model.
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Sep-2007
A new version of RIO and RIO Function Library has been released.
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Jul-2007
The July 2007 release takes a closer look at the difference between the Option Adjusted Spread and the Asset Swap Spread.
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May-2007
ScanRate Financial Systems and Telekurs Financial have developed a new valuation service which will provide Telekurs customers with consistent and transparent valuation of global fixed income positions.
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Apr-2007
The April 2007 release of SPV evaluates the use of LIBOR market models for the valuation of Danish mortgage bonds.
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Mar-2007
ScanRate starts delivery of option adjusted duration measures to Sparekassernes Data Center (SDC) for use in CAD reporting
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Feb-2007
A new version of RIO and RIO Function Library has been released.
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Jan-2007
This release provides a detailed discussion of the procedures used to construct group level prepayment rates from series level data
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Oct-2006
A short introduction to the content of the new SPV release
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Aug-2006
This RIO 4.2 release introduces a set of models for advanced Fixed Income Performance Attribution.
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Jul-2006
A short introduction to the content of the new SPV release
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Apr-2006
A short introduction to the content of this SPV release
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Jan-2006
A short introduction to the content of this SPV release
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Oct-2005
A short introduction to the content of this SPV release
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Jul-2005
A short introduction to the content of this SPV release
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Jun-2005
RIO 4.1 og RIO Function Library indeholder nu et swap modul til beregning af bred klasse af swapkontrakter herunder Bermudan og trigger swaps
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May-2005
Reuters and ScanRate are extending the coverage of the Danish MBS Service.
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Jan-2005
A short introduction to the content of this SPV release
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Oct-2004
ScanRate har udviklet en model til prisfastsættelse af RD's FlexGarantiTM obligationer.
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Aug-2004
The paper "Calibration of Structural Credit Risk Models: Implied Sensitivities and Liquidity Discounts" by ScanRate PhD student Søren Willemann has received a best paper award at the PhD Tutorial of the annual EFA conference.
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Jul-2004
The paper "Reforming Housing Finance - Perspectives From Denmark" by Mikkel Svenstrup and Søren Willemann has been awarded the ARES manuscript prize in the category Real Estate Finance.
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Jul-2004
A short introduction to the content of this SPV release
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Jun-2004
ScanRate Financial Systems A/S and RiskMetrics Group Ltd, New York, enter a service level agreement starting June 20th 2004 providing RiskMetrics Group with a robust set of Danish Mortgage Bond market data for use in its Value-at-Risk (VaR) calculations.
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Apr-2004
A short introduction to the content of this SPV release
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Mar-2004
Due to illiquidities the 8 % coupon bonds have been removed from the DKMTG list. Moreover three 4 % MBS's have been added.
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Jan-2004
At the American Real Estate Society (ARES) conference 2004 in Florida, USA, Søren Willemann will present the working paper titled "Reforming Housing Finance - Perspectives from Denmark."
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Jan-2004
A short introduction to the content of this SPV release
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Oct-2003
A short introduction to the content of this SPV release
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Aug-2003
Due to changes in legislation, taking effect October 1st 2003, the danish mortgage banks are allowed to issue loans with an embedded interest-only options (Afdragsfrie lån).
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Jul-2003
Short introduction to some of the issues in this SPV release
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Jun-2003
The sample of swaptions used in the calibration of the DMBS term structure model has been updated.
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May-2003
ScanRate sponsored Ph.D. student Nicki S. Rasmussen defends his Ph.D. thesis on May 23rd 2003. Everyone is welcome.
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Apr-2003
Scanrate sponsored Ph.D. student Mikkel Svenstrup defends his Ph.D. thesis on May 9th 2003. Everyone is welcome.
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Apr-2003
ScanRate and The Danish Securities Services (Værdipapircentralen - VP) have developed a model providing synthetic or fair prices for all Danish bonds. The prices are used by market participant for the valuation of bonds given as collateral.
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Apr-2003
A short introduction to some of the issues in this SPV release
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Jan-2003
The SPV modelling team has re-estimated the prepayment model and the DMBS model will be updated Monday, 3 February, 2003.
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Jan-2003
A short introduction to some of the issues in this SPV release
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Jan-2003
A new range of termstructure models is now available in RIO. The calibration and verfication of the models is made available through added functions.
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Jan-2003
The release of RIO 4.0 contains a large number of significant improvements to ScanRate's valuation model for Danish mortgage backed securities. The changes increase the precision of pricing and return measures and they remove the need for some of the manual corrections done by RIO users today.
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Jan-2003
The routines used to estimate volatility has been significantly improved ...
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Jan-2003
New chains is available on the DMBS Pages on Reuters
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Jan-2003
We have calculated a first year gain from prepayment, as an attempt to
capture prepayments from borrowers who focus on short term profits.
We find that due to the high correlation between the first year saving and the prepayment gain, the inclusion of this variable does not improve much upon the performance of the model.
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Jan-2003
In order to incorporate path-dependent explaining variables in the prepayment functions we have implemented an entended state space approach in the valuation model.
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Jan-2003
A smooth implementation of the delivery option is presented along with some results.
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Jan-2003
As is well known Option Adjusted Spreads are correlated with the interest rates. The Prepayment Risk key figure allows users to explain a large part of the variation of option adjusted spreads using only a few parameters.
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Oct-2002
A short introduction to some of the issues in this SPV release
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Jul-2002
A short introduction to some of the issues in this SPV release
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May-2002
A short introduction to some of the issues in this SPV release.
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May-2002
A short introduction to some of the issues in this SPV release.
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Sep-2001
Scanrate, market leading within the valuation of Danish mortgage bonds, has entered an agreement with SimCorp regarding the use of ScanRate's RIO system in TMS2000.
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Sep-2000
Reuters Limited, London and ScanRate Financial Systems A/S have announced a partnership in Danish mortgage backed securities. Starting June 2000 ScanRate will deliver real-time updated key figures covering the large Danish mortgage backed securities market. The information will be made available worldwide on Reuters key stations.
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