Jimmy Skoglund

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The framework presented in this paper describes how a risk manager in a systematic and structured way can construct scenarios. It creates a natural platform where quantitative analysts, economists as well as top management within a large bank can discuss, quantify and implement scenarios. A key aspect of the framework is also that it links all components of(More)
In order to insert a virtual object into a TV image, the graphics system needs to know precisely how the camera is moving, so that the virtual object can be rendered in the correct place in every frame. Nowadays this can be achieved relatively easily in postproduction, or in a studio equipped with a special tracking system. However, for live shooting on(More)
In this paper we combine ARMA-(asymmetric) GARCH and EVT methods, applying them to the estimation of extreme quantiles (i.e., beyond the 95%) of univariate portfolio risk factors. In addition to Value at Risk we consider the tail conditional expectation (or expected shortfall). A comparison is also made with methods based on conditional normality (e.g.,(More)
The general case where the time specific effect in a two way model follows an arbitrary ARMA process has not been considered previously. We offer a straightforward maximum likelihood estimator for this case. Allowing for general ARMA processes raises the issue of model specification and we propose tests of the null hypothesis of no serial correlation as(More)
Modelling credit risk is a challenge for any financial institution and in particular any bank need a structured approach to the quantification and management of credit risk. In this paper we intend to describe, as clearly as possible, the structures and models involved. Our point of view is that the ’essentials of credit portfolio management’ can be(More)
The objectives were to examine attitudes toward societal relations of the elderly in two age-stratified random samples, aged thirty to sixty-five, and seventy to seventy-five (both groups expressed attitudes toward the latter group), and to explore which of various correlates were associated with the attitudes. Six attitudinal dimensions were analyzed by(More)
The major objectives of this study were to explore the factorial dimensionality of forty-two additudinal items designed to measure attitudes concerning old people, and to compare these factor structures in two groups. Respondents were divided into a younger group (370 participants aged 30-65) and an older group (337 participants aged 70 and 75). Factor(More)