Showing papers by "Danske Bank published in 2013"
02 Sep 2013
TL;DR: It is suggested that drivers should never text while driving, especially not with a smartphone, as there are significant increases in reaction time, car-following distance, lane violation, number of crash/near-crash incidents, perceived task load and the amount of time the driver is looking away from the road.
Abstract: Text messaging on smartphones uses a full soft keyboard instead of the numeric buttons on traditional mobile phones. While being more intuitive, the lack of tactile feedback from physical buttons increases the need for user focus, which may compromise safety in certain settings. This paper reports from an empirical study of the effect of text messaging on road safety. We compared the use of a traditional mobile phone and a smartphone for writing text messages during simulated driving. The results confirm that driver performance when texting decreases considerably as there are significant increases in reaction time, car-following distance, lane violation, number of crash/near-crash incidents, perceived task load and the amount of time the driver is looking away from the road. The results also show that smartphones makes this even worse; on key performance parameters they increase the threat from text messaging while driving. These results suggest that drivers should never text while driving, especially not with a smartphone.
12 citations
TL;DR: This paper develops the numerical framework for computing FVA for general financial instruments including callable features, and achieves an efficient approximation of the FVA in a fully universal way.
Abstract: In the first part of this paper (Antonov-Bianchetti, 2013) we developed the theoretical framework for pricing financial instruments under multiple sources of funding, leading to a non-linear pricing PDE and to Funding Value Adjustment (FVA).In this second part we develop the numerical framework for computing FVA for general financial instruments including callable features. Our main technical result is an efficient approximation of the FVA in a fully universal way. Usage of non-linear effective discounting rates permits an exact handling of all solvable special cases (the collateral as linear function of the value) by a single formula. Furthermore, the formula delivers a very accurate approximation for general instruments (barriers, Bermudans, etc.). The proof is based on our second technical result: exact calculation of prices of automatically exercisable instruments (e.g. European-style or Barrier) having different stochastic discount rates before and after exercise.We also address the implementation workflow of the FVA calculation, allowing parallel deal-by-deal computation, and we provide a concrete example of FVA calculation for a Bermudan Swaption with partial collateralization, proving that the quality of the numerical approximation is excellent.
9 citations
TL;DR: In this article, the authors derive a closed-form expansion of option prices in terms of Black-Scholes prices and higher-order Greeks, which can be used for a broad class of option pricing models with dynamics governed by time-changed Brownian motions.
Abstract: We derive a closed-form expansion of option prices in terms of Black-Scholes prices and higher-order Greeks. We show how the true price of an option less its Black-Scholes price is given by a series of premiums on higher-order risks that are not priced under the Black-Scholes model assumptions. The expansion can be used for a broad class of option pricing models with dynamics governed by time-changed Brownian motions. Specifically, we study expansions for exponential Levy models such as the Variance Gamma and the Normal Inverse Gaussian models as well as their stochastic volatility counterparts, e.g., the VGSV and NIGSV models. Moreover, we consider extensions of the expansion to a more general subclass of affine jump-diffusion models for which the pricing transform may not be known in closed form.
4 citations
TL;DR: The winning case study from the professional development category of EFMD's Excellence in Practice Awards, 2013 as mentioned in this paper provides an independent review of the winning case and provides insight for practitioners into a learning and development initiative of proven impact.
Abstract: Purpose – To provide a review of the winning case study from the professional development category of EFMD's Excellence in Practice Awards, 2013. Design/methodology/approach – An independent review of the winning case. Findings – A strategic review at Danske Bank Sweden led to a decision to enhance its position as a premium bank by strengthening the advisory concept within personal banking. In response a working group proposed that a new group of investment advisors be created for individuals with up to 600,000 to invest. Originality/value – Provides insight for practitioners into a learning and development initiative of proven impact.
1 citations
TL;DR: In this article, an n-dimensional Markov-functional interest rate model based on parametric functional forms of exponential type was developed and tested for forward discount bonds and forward LIBORs.
Abstract: This article develops and tests an n-dimensional Markov-functional interest rate model in the terminal measure based on parametric functional forms of exponential type. The parametric functional forms enable analytical expressions for forward discount bonds and forward LIBORs at all times and allows for calibration of the model to caplet prices given by a displaced diffusion Black model. The analytical expressions of the model provide a theoretical tool for understanding the structure of standard Markov-functional models (MFMs) as well as comparisons with the LIBOR market model (LMM). In particular, it is shown that for ‘typical’ market data the model is close enough to the LMM to be able to calibrate using the LMM calibration set-up and machinery. This provides further information about the similarities (as well as some of the differences) between MFM and LMM. The parametric n-dimensional MFM may be used for products that require high-dimensional models for appropriate pricing and risk managemen...