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Modelling CSRBB under regulatory guidelines
(Elsevier BV, 2025-09) Segal, Maxime; Kristjánsson, Kristján; Björnsson, Björn Hrannar; Department of Engineering (RU); Verkfræðideild (HR); School of Technology (RU); Tæknisvið (HR)
The European Banking Authority (EBA) provides limited standardization for Credit Spread Risk in the Banking Book (CSRBB), delegating its assessment to individual financial institutions. This has led to significant variation in how CSRBB guidelines are interpreted and applied across the banking sector. This study investigates how to model plausible but unlikely credit spread shocks using Principal Component Analysis (PCA), hypothesizing that systemic risk dominates fluctuations across government and corporate bonds. The model aligns with EBA requirements and provides insights to strengthen risk management frameworks.
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Modelling CSRBB under regulatory guidelines
(Elsevier, 2025-05-15) Segal, Maxime; Kristjánsson, Kristján Rúnar; Björnsson, Björn Hrannar; Department of Science and Engineering
The European Banking Authority (EBA) provides limited standardization for Credit Spread Risk in the Banking Book (CSRBB), delegating its assessment to individual financial institutions. This has led to significant variation in how CSRBB guidelines are interpreted and applied across the banking sector. This study investigates how to model plausible but unlikely credit spread shocks using Principal Component Analysis (PCA), hypothesizing that systemic risk dominates fluctuations across government and corporate bonds. The model aligns with EBA requirements and provides insights to strengthen risk management frameworks.
Verk
Grýla in Sléttuhlíð
(2013) Parsons, Katelin Marit; Faculty of Icelandic and Comparative Cultural Studies
Grýlukvæði frá Sléttuhlíð í Skagafirði er varðveitt í tveimur handritum frá síðara hluta 17. aldar auk fjölda yngri handrita. Í útgáfu Ólafs Davíðssonar frá árinu 1903 er kvæðið eignað séra Guðmundi Erlendssyni frá Felli í Sléttuhlíð (um 1595–1670). Þessi útgáfa gefur þó óljósa mynd af varðveislu kvæðisins og styðst lítið við elsta handritið, AM 147 8vo, sem Ólafur kallar „brot.“ Í handritinu reynist uppskriftin vera heil en hún inniheldur gerð kvæðisins sem er með öðru sniði en finnst í yngri handritum. AM 147 8vo liggur til grundvallar nýrri útgáfu af þessu grýlukvæði sem birtist í greininni. Færð eru rök fyrir því að kvæðið sé það sama og grýlukvæði eignað Ásgrími Magnússyni (d. 1679) sem Jón Samsonarson taldi vera týnt. Grýlukvæðið mun hafa verið ort um 1640 en ómögulegt er að fullyrða um höfund kvæðisins, enda var Ásgrímur mágur Guðmundar og bjó í næsta nágrenni í Höfða á Höfðaströnd. Kvæðið er vísbending um náin tengsl milli Guðmundar og Ásgríms og undirstrikar mikilvægi fjölskyldusambanda í íslensku bókmenntalífi 17. aldar.
Verk
Gravity, Holography and Deformations
(University of Iceland, School of Engineering and Natural Sciences, Faculty of Physical Sciences, 2026) Nix, Alexia; Friðrik Freyr Gautason (main advisor), Valentina Giangreco M. Puletti (administrative advisor); Faculty of Physical Sciences (UI); Raunvísindadeild (HÍ); School of Engineering and Natural Sciences (UI); Verkfræði- og náttúruvísindasvið (HÍ)
In this dissertation we aim to explore gravity using two different methods, namely precision holography and stress-tensor deformations. From the holographic perspective we achieve this by studying the holographic dual of the half-BPS Wilson loop operator, in a variety of both conformal and non-conformal field theories, which is given by the partition function of a fundamental string or probe M2-brane in the corresponding dual geometry. We do this by focusing on the first subleading correction of the corresponding holographic expansion. This way we provide new quantitative tests of these gauge/gravity dualities, and we further develop the tools that are necessary for such an analysis. On the other hand, we utilize the massive gravity formulation of stress-tensor deformations to establish new connections with various theories of gravity, as well as mathematics. In particular, using this formulation we construct a new d-dimensional deforming operator that extends the findings of previous holographic studies, and makes contact with earlier results of minimal massive gravity. In three dimensions, we study the stress-tensor deformation of a certain seed theory and recover the DBI action of a two-brane in Polyakov form as the deformed action, establishing a new connection to string theory. Finally, restricting our analysis to two dimensions we show how the study of some deformed theories, that satisfy certain properties, can lead to further insights regarding the algebraic properties of special functions.
Verk
Irrelevant deformations, relevant masses
(University of Iceland, School of Engineering and Natural Sciences, Faculty of Physical Sciences, 2026) Tsolakidis, Evangelos; Valentina Giangreco and Marotta Puletti; Faculty of Physical Sciences (UI); Raunvísindadeild (HÍ); School of Engineering and Natural Sciences (UI); Verkfræði- og náttúruvísindasvið (HÍ)
The study of stress-tensor deformations is a newly-formed subfield in high energy theoretical physics and one of its main goals is to map out the space of all quantum field theories. Considering their connection to ghost-free massive gravity via the seminal example of TT in two dimensions, we develop a purely gravitational formalism for any deformation of this family in any dimension. Our approach indicates that the effect of the deformation reduces to coupling the undeformed theory with a carefully constructed mass term for the graviton. We employ this idea in various scenarios retrieving and extending known results in string theory and mathematics, ending up in higher dimensions where the dynamics are less explored. There, we establish a concrete connection between a ghost-free massive gravity theory and a holographically inspired deformation providing in parallel a direct derivation of the Polyakov form for branes in static gauge, based on the corresponding structure of the deformation.

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