Morten Risstad

Morten Risstad is an industrial PhD candidate at the Department of Industrial Economics and Technology Management (IØT) at the Norwegian University of Science and Technology (NTNU). His research interests lie in the fields of empirical finance, asset pricing and risk management. He holds a Master of Science in Business from NTNU/Nord University and is a Certified European Financial Analyst (CEFA) from NHH. Risstad is currently Head of FX and Rates at Sparebank1 Markets and has previously held various positions in the finance departments of Danske Bank, Norsk Hydro and Telenor.

Articles by Morten Risstad

Original research

Estimating value-at-risk using quantile regression and implied volatilities

In this paper the authors propose a semi-parametric, parsimonious value-at-risk forecasting model based on quantile regression and readily available market prices of option contracts from the over-the-counter foreign exchange interbank market.

08 Mar 2022