Petter Eilif de Lange

About

Responsibilities:

Teaching:

Financial accounting with analysis, Microeconomics, Macroeconomics, Investment and financing theory, International economics and applied microeconomics (Næringsøkonomi), Budgeting, Forcasting Methods in Economics and Finance.

Research

Financial Risk management

Credit default modeling using closed form models, classic statistical regression models and Machine Learning (ML) models including explainable artificial intelligence (AI) methods, credit rating of companies and sovereigns, estimating value at risk and volatility distributions

Modelling financial prices and spreads

Examining efficiency in futures markets, modeling bond spreads, estimating term structure models for interest rates

Research

My ongoing research reflects my working experience from banking, and finance and my extensive network in the Norwegian finance industry. Several of my papers explore macroeconomic implications of financial behavior. Core research themes are:

Financial Risk management

Credit default modeling using closed form models, classic statistical regression models and Machine Learning (ML) models including explainable artificial intelligence (AI) methods. Estimating value at risk and volatility distributions.

Modelling financial prices and spreads

Examining efficiency in futures markets. Modeling bond spreads. Estimating term structure models for interest rates. Forecasting inflation using LSTM networks and various ML-models.

Other topics

Examining the banking business. Examining classic capital structure models of debt utilization decisions. Examining the asset liability problem for casualty insurers using stochastic programming/pricing put options on discrete output spaces. Economic models for controlling pollution.

Publications

2024

Olsen, Asbjørn; Djupskås, Gard; de Lange, Petter Eilif; Risstad, Morten. (2024) Forecasting implied volatilities of currency options with machine learning techniques and econometrics models. International Journal of Data Science and Analytics (JDSA)
Academic article
Abrahamsen, Nils-Gunnar Birkeland; Nylén-Forthun, Emil; Møller, Mats; de Lange, Petter Eilif; Risstad, Morten. (2024) Financial Distress Prediction in the Nordics: Early Warnings from Machine Learning Models. Journal of Risk and Financial Management
Academic article

2023

de Lange, Petter Eilif; Risstad, Morten; Semmen, Kristian; Westgaard, Sjur. (2023) Term Premia in Norwegian Interest Rate Swaps. Journal of Risk and Financial Management
Academic article
Blom, Herman Mørkved; de Lange, Petter Eilif; Risstad, Morten. (2023) Estimating Value-at-Risk in the EURUSD Currency Cross from Implied Volatilities Using Machine Learning Methods and Quantile Regression. Journal of Risk and Financial Management
Academic article
Hjelkrem, Lars Ole; de Lange, Petter Eilif. (2023) Explaining Deep Learning Models for Credit Scoring with SHAP: A Case Study Using Open Banking Data. Journal of Risk and Financial Management
Academic article
Hjelkrem, Lars Ole; Nesset, Erik Alfred; de Lange, Petter Eilif; Wang, Hao. (2023) Deep Learning Approaches in Credit Scoring. Norges teknisk-naturvitenskapelige universitet Norges teknisk-naturvitenskapelige universitet
Doctoral dissertation

2022

Hjelkrem, Lars Ole; De Lange, Petter Eilif; Nesset, Erik. (2022) The Value of Open Banking Data for Application Credit Scoring: Case Study of a Norwegian Bank. Journal of Risk and Financial Management
Academic article
Myrland, Caroline Aarvold; De Lange, Petter Eilif; Westgaard, Sjur; Schlingloff, André. (2022) Examining classical capital structure models of debt utilization decisions in Norwegian SME shipping companies. Beta
Academic article
De Lange, Petter Eilif; Melsom, Borger Christopher; Vennerød, Christian Bakke; Westgaard, Sjur. (2022) Explainable AI for Credit Assessment in Banks. Journal of Risk and Financial Management
Academic article
Melsom, Borger Christopher; Vennerød, Christian Bakke; De Lange, Petter Eilif; Hjelkrem, Lars Ole; Westgaard, Sjur. (2022) Explainable artificial intelligence for credit scoring in banking. Journal of Risk
Academic article
De Lange, Petter Eilif; Risstad, Morten; Westgaard, Sjur. (2022) Term Premia in Norwegian Government Bond Yields. Beta
Academic article
Hjelkrem, Lars Ole; De Lange, Petter Eilif; Nesset, Erik. (2022) An end-to-end deep learning approach to credit scoring using CNN C XGBoost on transaction data. Journal of Risk Model Validation
Academic article
De Lange, Petter Eilif; Risstad, Morten; Westgaard, Sjur. (2022) Estimating value-at-risk using quantile regression and implied volatilities. Journal of Risk Model Validation
Academic article

2021

Andersen, Bendik Persch; De Lange, Petter Eilif. (2021) Efficiency in the Atlantic salmon futures market. Journal of futures markets
Academic article
Hua, Eric Guangcheng; Jacobsen, Jesper Thuestad; De Lange, Petter Eilif; Hjelkrem, Lars Ole. (2021) Stability and accuracy of credit ratings : Examining credit assessments from two Norwegian banks. Beta
Academic article
Andersen, Bendik Persch; Rundhaug, Mathilde; De Lange, Petter Eilif. (2021) Utilizing structural models to evaluate probability of default for Norwegian stock-based firms. Universitetsforlaget
Academic chapter/article/Conference paper

2017

De Lange, Petter Eilif; Reite, Endre Jo. (2017) Effekten av egenkapitalkrav på boliglån til norske husholdninger. Samfunnsøkonomen
Academic article

2004

de Lange, Petter Eilif; Fleten, Stein-Erik; Gaivoronski, Alexei A.. (2004) Modeling financial reinsurance in the casualty insurance business via stochastic programming. Journal of Economic Dynamics and Control
Academic article

2001

de Lange, Petter Eilif; Gaivoronski, Alexei A.; Høyland, Kjetil. (2001) Statutory Regulation of Casualty Insurance Companies: An example from Norway with Stochastic Programming Analysis.
Academic chapter/article/Conference paper

2000

de Lange, Petter Eilif; Gaivoronski, Alexei A.. (2000) An Asset Liability Model for Casualty Insurers: Complexity Reduction vs. Parameterized Decision Rules. Annals of Operations Research
Academic article

1993

de Lange, Petter Eilif. (1993) Prinsipper ved og analyse av økonomiske systemer for kontroll av regional og flernasjonal forurensing. Stiftelsen for Samfunns- og Næringslivforskning
Report

Journal publications

Olsen, Asbjørn; Djupskås, Gard; de Lange, Petter Eilif; Risstad, Morten. (2024) Forecasting implied volatilities of currency options with machine learning techniques and econometrics models. International Journal of Data Science and Analytics (JDSA)
Academic article
Abrahamsen, Nils-Gunnar Birkeland; Nylén-Forthun, Emil; Møller, Mats; de Lange, Petter Eilif; Risstad, Morten. (2024) Financial Distress Prediction in the Nordics: Early Warnings from Machine Learning Models. Journal of Risk and Financial Management
Academic article
de Lange, Petter Eilif; Risstad, Morten; Semmen, Kristian; Westgaard, Sjur. (2023) Term Premia in Norwegian Interest Rate Swaps. Journal of Risk and Financial Management
Academic article
Blom, Herman Mørkved; de Lange, Petter Eilif; Risstad, Morten. (2023) Estimating Value-at-Risk in the EURUSD Currency Cross from Implied Volatilities Using Machine Learning Methods and Quantile Regression. Journal of Risk and Financial Management
Academic article
Hjelkrem, Lars Ole; de Lange, Petter Eilif. (2023) Explaining Deep Learning Models for Credit Scoring with SHAP: A Case Study Using Open Banking Data. Journal of Risk and Financial Management
Academic article
Hjelkrem, Lars Ole; De Lange, Petter Eilif; Nesset, Erik. (2022) The Value of Open Banking Data for Application Credit Scoring: Case Study of a Norwegian Bank. Journal of Risk and Financial Management
Academic article
Myrland, Caroline Aarvold; De Lange, Petter Eilif; Westgaard, Sjur; Schlingloff, André. (2022) Examining classical capital structure models of debt utilization decisions in Norwegian SME shipping companies. Beta
Academic article
De Lange, Petter Eilif; Melsom, Borger Christopher; Vennerød, Christian Bakke; Westgaard, Sjur. (2022) Explainable AI for Credit Assessment in Banks. Journal of Risk and Financial Management
Academic article
Melsom, Borger Christopher; Vennerød, Christian Bakke; De Lange, Petter Eilif; Hjelkrem, Lars Ole; Westgaard, Sjur. (2022) Explainable artificial intelligence for credit scoring in banking. Journal of Risk
Academic article
De Lange, Petter Eilif; Risstad, Morten; Westgaard, Sjur. (2022) Term Premia in Norwegian Government Bond Yields. Beta
Academic article
Hjelkrem, Lars Ole; De Lange, Petter Eilif; Nesset, Erik. (2022) An end-to-end deep learning approach to credit scoring using CNN C XGBoost on transaction data. Journal of Risk Model Validation
Academic article
De Lange, Petter Eilif; Risstad, Morten; Westgaard, Sjur. (2022) Estimating value-at-risk using quantile regression and implied volatilities. Journal of Risk Model Validation
Academic article
Andersen, Bendik Persch; De Lange, Petter Eilif. (2021) Efficiency in the Atlantic salmon futures market. Journal of futures markets
Academic article
Hua, Eric Guangcheng; Jacobsen, Jesper Thuestad; De Lange, Petter Eilif; Hjelkrem, Lars Ole. (2021) Stability and accuracy of credit ratings : Examining credit assessments from two Norwegian banks. Beta
Academic article
Rundhaug, Mathilde; De Lange, Petter Eilif; Aamo, Per Egil. (2020) Modeling Bond Spreads and Credit Default Risk in the Norwegian Financial Market Using Structural Credit Default Models . Beta
Academic article
De Lange, Petter Eilif; Stiberg, Kim Andre Ha; Aamo, Per Egil. (2019) Estimating Contingent Convertible credit spreads in the Norwegian Bond Market using an option pricing approach. Beta
Academic article
Reite, Endre Jo; De Lange, Petter Eilif. (2018) Hvordan påvirker nedleggelse av bankkontor valg av boliglånsbank. Samfunnsøkonomen
Academic article
De Lange, Petter Eilif; Aamo, Per Egil; Westgaard, Sjur. (2018) The Norwegian financial bond market : A comprehensive market review with an empirical analysis of the main drivers of spreads. Beta
Academic article
De Lange, Petter Eilif; Reite, Endre Jo. (2017) Effekten av egenkapitalkrav på boliglån til norske husholdninger. Samfunnsøkonomen
Academic article
de Lange, Petter Eilif; Fleten, Stein-Erik; Gaivoronski, Alexei A.. (2004) Modeling financial reinsurance in the casualty insurance business via stochastic programming. Journal of Economic Dynamics and Control
Academic article
de Lange, Petter Eilif; Gaivoronski, Alexei A.. (2000) An Asset Liability Model for Casualty Insurers: Complexity Reduction vs. Parameterized Decision Rules. Annals of Operations Research
Academic article

Part of book/report

Andersen, Bendik Persch; Rundhaug, Mathilde; De Lange, Petter Eilif. (2021) Utilizing structural models to evaluate probability of default for Norwegian stock-based firms. Universitetsforlaget
Academic chapter/article/Conference paper
de Lange, Petter Eilif; Gaivoronski, Alexei A.; Høyland, Kjetil. (2001) Statutory Regulation of Casualty Insurance Companies: An example from Norway with Stochastic Programming Analysis.
Academic chapter/article/Conference paper

Report

Hjelkrem, Lars Ole; Nesset, Erik Alfred; de Lange, Petter Eilif; Wang, Hao. (2023) Deep Learning Approaches in Credit Scoring. Norges teknisk-naturvitenskapelige universitet Norges teknisk-naturvitenskapelige universitet
Doctoral dissertation
de Lange, Petter Eilif. (1993) Prinsipper ved og analyse av økonomiske systemer for kontroll av regional og flernasjonal forurensing. Stiftelsen for Samfunns- og Næringslivforskning
Report

Språkvelger