We Are All About Sharing Our Knowledge
We have always had very close links to the financial research community in Denmark. We have participated in a number of research projects and we have made regular contributionse to professional journals. Each quarter, we publish a mortgage bonds analysis based on research from Scanrate’s analysts.
Below, you will find a selection of our articles, research papers, and factsheets for general use. If you have questions or comments, please contact us.
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Article
CRR2/FRTB – What will the impact be for Danish bonds?
A key element in FRTB is a completely new standard method for calculating market risk. This article gives you an introduction to the standard method and a comprehensive review of how the new capital requirements are to be calculated for Danish bonds.
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Report
Using Scenario Calculations for Loan Counseling in Agriculture
As part of a larger project on financial management in agriculture, the Knowledge Centre for Agriculture SEGES asked us to devise a report on the use of market value statements and scenario calculations for loan counseling.
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Ph.D.
Prepayment and the Valuation of Danish Mortgage Backed Bonds
Our partner and co-founder, Svend Jakobsen, published his Ph.D. dissertation 'Prepayment and the Valuation of Mortgage Backed Bonds' in 1992. The dissertation's aim was to develop and test a pricing model for Danish callable mortgage backed bonds (MBBs).
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Factsheet
RIO Fixed Income System
With our RIO Fixed Income System you get the market leading system to analyze, calculate evaluated prices, and to measure risks efficiently on Danish mortgage backed bonds as well as interest and bond derivatives. It is the only system that ensures you the full range of benchmark models for all types of bonds in the Danish market.
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Factsheet
RIO Function Library
The full set of RIO functions close to hand. With our user-friendly add-on for Excel, you can combine RIO’s advanced models with Excel’s flexibility and manage risk efficiently in your favorite spreadsheet environment.
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Report
Reductions in the Use of Interest Only Loans
This report discusses the need for interventions regarding interest only possibilities in Denmark. The report examines similar interventions conducted recently in three of our neighboring countries and argues that each of them represents a possible solution for Denmark.
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Presentation
Solvency II / QIS 5 yield curve methodology
In 2011, 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 5 yield curve methodology. Here you can download the slides from the presentation.
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Report
Analysis of Bill on Refinancing of Adjustable Rate Mortgages
This report analyses the bill on refinancing of adjustable rate mortgages and discusses the possibilities of including interest rate risk in the credit rating of households.
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