Personal Information:
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Nationality: Swedish.
Date of birth: 16 December, 1977.
Contact Information:
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Daniel Berg, Ph.D.
Adress: Hallagerbakken 21 B,
1256 Oslo, Norway
E-mail: daniel at danielberg.no
Web: danielberg.no
Current Employment:
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November 2007 - Present: DnBNOR Asset Management,
Quantitative Analyst / Portfolio Manager - Fixed Income.
Education:
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UNIVERSITY OF OSLO (August 2004 - November 2007)
PhD in statistical analysis of credit risk,
in co-operation with The Norwegian Computing Center.
Dissertation defended March 14th, 2008
References:
Kjersti Aas, Assistant Research Director, the Norwegian Computing Center.
Xeni Dimakos, Chief Research Scientist, the Norwegian Computing Center.
NORWEGIAN UNIVERSITY OF SCIENCE AND TECHNOLOGY (August 1997 - June 2003)
MSc. in Industrial Mathematics, June 2003.
Specialization: MCMC, spatial and financial statistics.
Master thesis title: Bankruptcy risk prediction by Generalized Additive models.
Reference: Haavard Rue, Professor in Statistics, NTNU.
Work experience:
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DnBNOR ASSET MANAGEMENT (November 2007 - Present)
Quantitative Analyst / Portfolio Manager - Fixed Income.
Tasks: Credit bond portfolio management, interest rate futures trading, risk management, systems development/management.
Reference: Svein Aage Aanes - Head of Fixed Income
GE MONEY BANK (August 2004 - August 2005)
Risk Analyst Statistics.
Tasks involved i.a.: capital allocation modelling, scorecard building and monitoring, report automization,
leading and participating in projects across departments.
Reference: Michael Hvidsten - Risk Manager at Elcon Finans
Publications:
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D. Berg and J.-F. Quessy (2009)
Local power analyses of goodness-of-fit tests for copulas
Scandinavian Journal of Statistics 36, p. 389-412.
D. Berg (2009)
Copula goodness-of-fit testing: An overview and power comparison
Forthcoming in The European Journal of Finance.
D. Berg and K. Aas (2009)
Models for construction of multivariate dependence: A comparison study
Forthcoming in The European Journal of Finance.
R. Dakovic, C. Czado and D. Berg (2009)
Bankruptcy prediction in Norway: a comparison study
Forthcoming in Applied Economic Letters.
D. Berg (2008)
Statistical Analysis of Credit Risk - Topics in Default and Dependence Modelling
Ph.D. Thesis, University of Oslo
D. Berg (2007)
Bankruptcy Prediction by Generalized Additive Models
Applied Stochastic Models in Business and Industry 23(2), p. 129-143.
Working papers:
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D. Berg and H. Bakken (2007)
A copula goodness-of-fit approach based on the probability integral transform
Submitted for publication.
Presentations:
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The use of copulas - estimation, simulation, model choice/criticism. An applied introduction with examples in R/S-PLUS
20 November 2008 - Invited speach for the Norwegian ASTIN group.
Oslo, Norway.
Models for construction of multivariate dependence
1 July 2008 - Invited speach at the 2nd R/Rmetrics User and Developer Workshop.
Meielisalp, Lake Thune, Switzerland.
Copula goodness-of-fit testing: An overview and power comparison
16-19 June 2008 - Invited speach at the 22nd Nordic Conference on Mathematical Statistics.
Vilnius, Lithuania.
Statistical Analysis of Credit Risk - Topics in Default and Dependence Modelling
14 March 2008 - Dissertation defense for the degree of Ph.D.
Oslo, Norway.
Using and selecting among copulae: frequentist and Bayesian perspectives
14 March 2008 - Trial lecture for the degree of Ph.D.
Oslo, Norway.
Copula goodness-of-fit testing: an overview and power comparison
14-15 September 2007 - Copulae and Multivariate Probability Distributions in Finance.
Warwick, UK.
Models for construction of multivariate dependence
14-15 September 2007 - Copulae and Multivariate Probability Distributions in Finance.
Warwick, UK.
Copula goodness-of-fit testing: an overview and power comparison
19-21 June 2007 - The 14th Norwegian meeting of statisticians.
Tromsoe, Norway.
A copula goodness-of-fit approach based on the probability integral transform
24th April 2007 - Workshop on quantitative risk management.
Oslo, Norway.
A copula goodness-of-fit approach based on the probability integral transform
24th November 2006 - Workshop on Copulas, Levy processes and Levy copulas.
Munich, Germany.
A copula goodness-of-fit approach based on the probability integral transform
14th June 2006 - 21st Nordic Conference on Mathematical Statistics.
Rebild, Denmark.
A copula goodness-of-fit approach based on the probability integral transform
19th May 2006 - International Conference on High Frequency Finance.
Konstanz, Germany.
An introduction to copulae
14th March 2006 - Statistics seminar, NTNU.
Trondheim, Norway.
IT Skills:
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Operative Systems: MS Windows, UNIX, Linux, Mac OS
Software: Bloomberg, Mathematica, MS Office, R, SAS, Simcorp Dimension, S-PLUS, Omega Research TradeStation, VBA
Programming Languages: C, PHP, SQL
Languages:
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Norwegian: Native tongue
Swedish: Other native tongue
English: Fluent oral and written
German: Oral and written, limited
Courses:
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Bond fundamentals
UBS Investment Bank
London, January 2008
Financial instruments
Financial Training Partner A/S
Oslo, December 2007
Advanced Credit Risk Measurment and Modelling Techniques
Incisive Events
New York, September 2004
CV download:
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