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Mads Stenbo Nielsen

Associate Professor

Subjects
Statistics Investment Big data Machine learning Quantitative methods ESG

Primary research areas

Ma­chine learn­ing in fin­ance
A wide range of ma­chine learn­ing mod­els find nat­ur­al ap­plic­a­tions in fin­ance. From risk man­age­ment and re­turn pre­dic­tion to cluster ana­lys­is and op­tim­al in­vest­ment de­cisions. I work to ex­plore which meth­ods work the best in a giv­en ap­plic­a­tion.
Sustain­ability in in­vest­ments
Sustain­ability is the new norm in fin­ance. A wide vari­ety of met­rics such as CO2 emis­sions, ESG, SDG, EU tax­onomy etc. provide a gran­u­lar pic­ture of a se­cur­ity’s sustain­ability pro­file. At the same time they also pose many ques­tions about which met­rics mat­ter the most for a giv­en se­cur­ity or in­vest­ment de­cision. I work to ex­plore the in­tric­ate links between sustain­ability and the risk/re­turn tradeoff.
Cred­it risk mod­el­ing
Cred­it risk af­fects both a firm’s equity and debt, and hence also af­fects pri­cing of many se­cur­it­ies. I ex­plore how ro­bust math­em­at­ic­al mod­els can be used to meas­ure and pre­dict cred­it risk for stocks, bonds, and de­riv­at­ives.

I put fin­an­cial the­ory into prac­tice

Based on a solid theoretical background in mathematics and statistics, I work to explore how theory finds its way into everyday practice, whether it is pricing of corporate bonds, minimizing risk in diversified portfolios, assessing the impact of sustainability on return performance, or predicting future stock returns. 

I strive to make a difference by exploiting the strength of deep theoretical insights with a practical perspective on what is actually possible to implement. I exploit big data, machine learning, mathematics, and common sense to foster new ideas and create new solutions to a wide variety of finance and investment problems.  

Publications

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June 2021

The Value of Bond Underwriter Relationships

Jens Dick-Ni­el­sen, Professor

Mads Sten­bo Ni­el­sen, Associate Professor

Stine Louise von Rüden
Go to publication

April 2021

Active Loan Trading

Frank J. Fabozzi

Sven Klingler

Mads Sten­bo Ni­el­sen, Associate Professor

Go to publication

February 2021

The Value of Bond Underwriter Relationships

Stine Louise von Rüden

Jens Dick-Ni­el­sen, Professor

Mads Sten­bo Ni­el­sen, Associate Professor

Go to publication

Outside activities

Port­fo­lio Man­ager , 2019 -

Man­aging glob­al equity port­fo­li­os at a Dan­ish as­set man­ager

Ex­tern­al ex­am­iner , 2014 -

Eval­u­at­ing B.Sc. and M.Sc. theses with­in eco­nom­ics, fin­ance, and math­em­at­ics