Carl Lönnbark

University of Umea

Samhallsvetarhuset, Plan 2

Umea University

Umeå, SE 901 87

Sweden

Swedbank

Risk Analyst

SE-105 34 Stockholm

Sweden

SCHOLARLY PAPERS

9

DOWNLOADS

444

CITATIONS

1

Scholarly Papers (9)

1.

Setting Scenarios and Assessing Scenario Probabilities under IFRS 9 Accounting

Number of pages: 11 Posted: 24 Aug 2017
Carl Lönnbark
University of Umea
Downloads 184 (162,776)

Abstract:

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Credit Loss, Default Risk Gauss-Hermite Quadrature, IFRS 9, Model Validation, Merton, Point-in-Time, Stress Testing, Through-the-Cycle

2.

Identification of Jumps in Financial Time Series

Number of pages: 16 Posted: 25 May 2011
Jörgen Hellström and Carl Lönnbark
Umeå University - Umeå School of Business and Economics and University of Umea
Downloads 140 (205,394)

Abstract:

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Financial econometrics, jumps, realized variance, bipower variation, stock price

3.

Profitability of Technical Trading Rules on the Baltic Stock Markets

University of Umea Economic Studies Paper No. 761
Number of pages: 6 Posted: 18 Oct 2009
Carl Lönnbark and Albina Soultanaeva
University of Umea and University of Umea - Department of Economics
Downloads 71 (324,661)

Abstract:

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Baltic stock markets, technical trading rules, block bootstrap

4.

On the Role of the Estimation Error in Prediction of Expected Shortfall

Number of pages: 19 Posted: 14 Sep 2012
Carl Lönnbark
University of Umea
Downloads 27 (479,385)

Abstract:

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Backtesting, Delta method, Finance, GARCH, Risk Management

5.

Effects of Explanatory Variables in Count Data Moving Average Models

Umeå Economic Studies Paper No. 679
Number of pages: 6 Posted: 13 Dec 2008 Last Revised: 19 Oct 2009
Kurt Brannas and Carl Lönnbark
University of Umea - Department of Economics and University of Umea
Downloads 22 (507,013)

Abstract:

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INMA model, Marginal effect, Intra-day, Financial data

6.

Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges

Umea Economic Studies Paper No. 725
Posted: 18 Oct 2009
University of Umea - Department of Economics, University of Amsterdam - Department of Quantitative Economics (KE), University of Umea and University of Umea - Department of Economics

Abstract:

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Time series, nonlinear, multivariate, finance, value at risk, portfolio allocation

7.

Value at Risk and Expected Shortfall for Large Portfolios

Finance Research Letters, Vol. 8, 2011
Posted: 18 Oct 2009 Last Revised: 19 Mar 2012
Carl Lönnbark, Ulf E. Holmberg and Kurt Brannas
University of Umea, University of Umea - Department of Economics and University of Umea - Department of Economics

Abstract:

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Demand, Supply, Liquidity Risk, Limit Order Book, Bank, Sweden

8.

A Corrected Value-at-Risk Predictor

Applied Economics Letters, Forthcoming
Posted: 18 Oct 2009
Carl Lönnbark
University of Umea

Abstract:

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Estimation Error, Finance, GARCH, Prediction, Risk Management

9.

Uncertainty of Multiple Period Risk Measures

University of Umea Economic Studies Paper No. 768
Posted: 18 Oct 2009
Carl Lönnbark
University of Umea

Abstract:

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Asymmetry, Estimation Error, Finance, GJR-GARCH, Prediction, Risk Management