Kaj Nyström

University of Umea

Samhallsvetarhuset, Plan 2

Umea University

Umeå, SE 901 87

Sweden

SCHOLARLY PAPERS

7

DOWNLOADS

65

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (7)

1.

Theory and Practice in Risk Based Capital Assessment Methodology

Journal of Risk Intelligence, 2005
Number of pages: 10 Posted: 14 Apr 2013
Jimmy Skoglund and Kaj Nyström
SAS Institute Inc. and University of Umea
Downloads 65 (369,901)

Abstract:

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Risk based capital assessment, capital planning, credit risk capital

2.

Tug‐Of‐War, Market Manipulation, and Option Pricing

Mathematical Finance, Vol. 27, Issue 2, pp. 279-312, 2017
Number of pages: 34 Posted: 28 May 2020
Kaj Nyström and Mikko Parviainen
University of Umea and affiliation not provided to SSRN
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infinity Laplace, nonlinear parabolic partial differential equation, option pricing, stochastic differential game, tug‐of‐war

3.

A Framework for Scenario Based Risk Management

Posted: 09 Apr 2013
Jimmy Skoglund and Kaj Nyström
SAS Institute Inc. and University of Umea

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Scenario based analysis, stress testing

4.

Essentials of Credit Portfolio Management

Posted: 09 Apr 2013
Jimmy Skoglund and Kaj Nyström
SAS Institute Inc. and University of Umea

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credit risk, credit models, credit pricing

5.

Towards Operational Risk Management

Operational Risk Modelling and Analysis: Theory and Practice, Risk Books, Risk Publications. Ed. Marcelo Cruz (2004)
Posted: 28 Mar 2013
Jimmy Skoglund and Kaj Nyström
SAS Institute Inc. and University of Umea

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Operational risk, Loss distribution approach

6.

A Credit Risk Model for Large Dimensional Portfolios with Application to Economic Capital

Journal of Banking and Finance, Vol. 30, 2006
Posted: 28 Mar 2013
Jimmy Skoglund and Kaj Nyström
SAS Institute Inc. and University of Umea

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Portfolio credit risk, large credit portfolios, credit risk model framework, credit risk economic capital, credit loss projections

7.

Efficient Filtering of Financial Time Series and Extreme Value Theory

Journal of Risk, Vol. 7, No. 2, pp. 63-84, Winter 2004/05
Posted: 27 Apr 2005
Kaj Nyström and Jimmy Skoglund
University of Umea and SAS Institute Inc.

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Univariate time series, extreme value theory, EVT, value-at-risk, VAR, Monte Carlo, t-distribution