Thor Nielsen Email & Phone Number

Copenhagen, DK

Copenhagen, Capital Region, Denmark

Working as an actuary in Capital & Economic Modelling at Codan/RSA/Alm. Brand I have experience with:+Full & partial internal models for Solvency Capital requirements +Model documentation & development+Solvency II Standard formula+Stress/sensitivity testing+Profit and Loss attribution (Backtesting)+Internal reporting and model documentation+Dependence.

Copenhagen Area, Denmark

I teach a hands on course introducing masters students to the principles of Monte Carlo methods in statistics and finance. We cover pseudo random variable generation, variance reduction methods, methods for simulation of stochastic differential equations, copulas, size and power simulations of tests and sensitivity estimation (eg. The greeks). The students.

Copenhagen Area, Denmark

Working as senior analyst in Market risk at Nykredit I have experience with:+ Ground up development of new internal (historical simulation based) VaR model & infrastructure+ Validation of Pricing models (Callable mortgages, IR derivatives, volatility...)+ Interpreting future and current regulation (FRTB, CRR, CRR 2)+ Risk factor modeling + Internal.

Copenhagen Area, Denmark

Teaching introduction to statistics courses for students from the life sciences. The materials prepared by me, has been given a 4.8 rating on a scale of 1-5 by the students while I as a teacher was rated 4.95.

Copenhagen

Selected projects:+Financial: Commercial acceleration & execution + Public: Business intelligence+ Retail: Innovation strategy+Consumer goods: Data Driven segmentation+Energy: Organizational re-structuring+Pharma: Sourcing & pricing

My research focused on developing new methods to evaluate forecast accuracy of financial (market) risk models, developing new statistical models for interval bounded data such as default rates and comparing forecasts of market risk for large stock portfolios using big data type methods. My work has been presented at international conferences and published.

Copenhagen Area, Denmark

Summer internship as a quant developer, working with statistical modelling and forecasting of high-frequency stock behavior using statistics and machine learning in Matlab.

Aarhus

Research assistent to professor Asger Lunde on macro/finance project. I also taught mathematics and statistics for first year students.

Analyst for Client Management in the Asset Management Division of Nykredit Bank. The tasks included the monthly and quarterly reporting to large institutional clients on how their portfolio performed versus different benchmarks as well as doing different attribution analyses. Furthermore, the job entailed automation of processes in Microsoft Excel.

Alongside my studies I worked as a student at Totalkredit, I generated descriptive statistics and automated tasks via Excel VBA programming. I also also provided support on Excel for colleagues.

Auditors assistant at Deloitte. I worked full time as auditors assistant for small and medium size companies, while studying part time at CBS. The tasks included analyzing and auditing companies financial statements, bookkeeping, working as part of an auditing team and a large degree of interaction with clients.

Doctor Of Philosophy (Phd), Econometrics And Quantitative Economics

My research focused on developing new methods to evaluate forecast accuracy of financial (market) risk models, developing new statistical.

Cand.Oecon (Imsqe), Econometrics And Quantitative Economics

The two-year MSc programme titled International Master of Science in Quantitative Economics (IMSQE) is a special elite programme embedded.

Bachelor, Bsc In Business Administration And Management Science

-Bachelor thesis (15 ECTS) on the effect of endogenous variables in linear regression models and solutions. -Project (7.5 ECTS) in.

Enkeltfag, Actuarial Science

Basic Non-Life Insurance Mathematics (Skade1)