Perm Winter School '16

is about:
  • Financial Networks
  • Market Microstructure Design
  • Blockchain Protocols
  • Risk Management & Regulation
  • Science & Art
About
PWS '16
  • 3 days
  • 10 discussion sessions
  • 1 risk party

Perm Winter School is a community of bright students, forward-looking academicians, and innovative industry practitioners in the area of quantitative finance and risk management. Every winter this comprehensive program covers the latest empirical researches, theoretical models, and industry best practices.

Past events
Program
Day 1
Day 2
Day 3
February 4 Thursday A.M. Gorky Perm State Regional Library
09:00—10:00
Registration
10:00—10:15
Opening ceremony
10:15—11:45
Rosario Mantegna
Central European University

Financial and economic networks. Type of networks. Problems with the construction of financial networks. Classical approaches to the resilience of a network. Systemic risk and flows and processes on the network

11:45—12:15
Tea break
12:15—13:45
Alexey Lobanov
Bank of Russia

Art of Regulation

13:45—14:45
Lunch
14:45—16:15
Victor Lapshin
FERM Lab HSE

Art of Yield Curve Modeling

16:15—17:15
Welcome drink
February 5 Friday A.M. Gorky Perm State Regional Library
10:15—11:45
Rosario Mantegna
Central European University

The case of the Interbank market and the core-periphery structure in networks

11:45—12:15
Tea break
12:15—13:00
Richard Olsen
Lykke

Global Marketplace Design

13:00—13:45
Mikhail Nikulin
Lykke

Blockchain Settlement: Protocols and Scalability Issues

13:45 - 14:45
Lunch
14:45 - 16:15
Henry Penikas
Higher School of Economics

Olga Kotina
NLMK

Olga Stepanova
Prognoz

Art of Risk Management

16:15 - 16:45
Tea break
16:45 - 18:15
Research Session
February 6 Saturday PWS LABS A.M. Gorky Perm State Regional Library
15:00—19:00
TRADING & RISK LAB

Vyacheslav Arbuzov
Prognoz Risk Lab

Ann-Christina Lange
Copenhagen Business School

Yevgeniy Vasin
Quantstellation

Polina Mikhailova
Psychologist



ART & SCIENCE LAB

Daria Parkhomenko
Laboratoria Art&Science Space



MUSIC & THEATRE LAB

Georgiy Mansurov
MusicAeterna

Alexey Sergunin
Composer

20:00—23:00
Triumph Risk Party (44 Lenin Str.)
Speakers
Rosario Mategra
Rosario Mantegna
Central European University
Rosario Mantegna
Central European University

Rosario N. Mantegna is professor at CEU in a joint appointment of the Department of Economics and the Center of Network Science. Besides Palermo University, where he holds a professorship, he worked at the MPI for Quantum Optics in Munich, and at Boston University. His research concerns interdisciplinary applications of statistical physics. He started to work in the area of the analysis and modeling of social and economic systems with tools and concepts of statistical physics as early as 1990 and he is one of the pioneers in the field of econophysics. He coauthored the first book on econophysics.

Richard Olsen
Richard Olsen
Lykke
Richard Olsen
Lykke

Richard Olsen is the founder of Lykke, Oanda, Olsen Associates. He oversees all portfolio investments as part of a comprehensive risk management process and is involved in the ongoing development of trading models. Richard has written and co-authored many scientific papers and published a book, numerous articles and opinion pieces on a variety of topics. Richard's unorthodox but compelling ideas have made him a very welcome speaker at conferences around the world. His goal is "to create tools of finance that are as slick and elegant as the most sophisticated tools of technology".

Alexey Lobanov
Alexey Lobanov
Bank of Russia
Alexey Lobanov
Bank of Russia

Alexey Lobanov is a Deputy Director, Banking Regulation Department at the Bank of Russia. Alexey graduated from the National Research University of Electronic Technology in Moscow and has a doctoral degree in finance awarded by the Russian Academy of Sciences. He has been a member of GARP since 1999 and member of the Steering Committee of PRMIA Russian Chapter since 2002. He is a Financial Risk Manager – certified by the Global Association of Risk Professionals and has 18 years of professional experience in finance.

Alexey has over 20 papers and articles to his credit, edited and co-authored several books. He is a lecturer in technical and fundamental analysis and risk management. His research interests include financial intermediation theory, regulation of bank risks, risk analysis of large-scale investment projects, risk management of sovereign debt and reserves, and financial market analysis.

Ann-Christina Lange
Ann-Christina Lange
Copenhagen Business School
Ann-Christina Lange
Copenhagen Business School

Ann-Christina Lange is an Assistant Professor at the Department of Management, Politics and Philosophy at Copenhagen Business School. She is a part of the ‘Crowd Dynamics in Financial Markets’ research project where she focuses on high-frequency trading and its impact on the financial markets. She obtained her PhD from the Department of Sociology, Goldsmiths, University of London, in 2013.

Viacheslav Arbuzov
Vyacheslav Arbuzov
Prognoz Risk Lab
Viacheslav Arbuzov
Prognoz Risk Lab

Vyacheslav Arbuzov is Deputy Head of the Prognoz Risk Lab. He has authored over 20 articles devoted to risk management and financial modeling. Vyacheslav is a Ph.D. student at Perm State University. He is an active member of the international R community. Among his research interests are market microstructure analysis and modeling, modeling and diagnostics of financial market bubbles, machine learning systems, and simulation market modeling.

Victor Lapshin
Victor Lapshin
FERM Lab HSE
Victor Lapshin
FERM Lab HSE

Ph.D. in Physics and Mathematics. Research fellow at FERM LAB (Financial Engineering and Risk Management). Author of more than 30 papers on risk management and dynamical model of interest rates term structure.

Passionate with historical dances reconstruction.

Daria Parkhomenko
Daria Parkhomenko
Laboratoria Art&Science Space
Daria Parkhomenko
Laboratoria Art&Science Space

Curator and founding director of LABORATORIA Art&Science Space (2008) – the first exhibition and research centre in Russia focused on constructing platforms of interdisciplinary interaction between contemporary art and science.

Education:
Sociology, art history and cultural management at Moscow State University (2006) and The Moscow School of Social and Economic Sciences (2007).

She teaches at Open School MediaArtLab and at School of Contemporary Art at MMOMA.

2011 - jury member at Ars Electronica Festival, Linz, Austria.

2013, 2015 - member of the expert board of the All-Russian competition for the award in the field of contemporary visual art "Innovation".

2014 - laureate of the Public Prize "Caryatide".

Georgiy Mansurov
Georgiy Mansurov
MusicAeterna
Georgiy Mansurov

Georgiy Mansurov is a clarinet player. He is a first prize winner of the International Festival and Competition Beethoven Days in Moscow and International Competition Musica Classica. Georgiy is a grant holder of the Prefect of the Central Administrative District of Moscow and a participant of numerous international festivals.

Georgiy is an alumnus of the Musical College named after F. Chopin and Tchaikovsky Moscow State Conservatory. He worked a soloist of Ivan Velokanov’s Alta Capella ensemble and ТHE SEMB band; an artistic director of soloist ensemble DECORUM, a visiting soloist of the National Academic Chamber Orchestra of Russia and Musica Viva Orchestra.

Since 2012, Georgiy Mansurov has been a soloist of the Music Aeterna Orchestra. He is an artistic director of the Festival of Individual Projects (Moscow).

Mikhail Nikulin
Mikhail Nikulin
Lykke
Mikhail Nikulin
Lykke

Alexey Sergunin
Alexey Sergunin
Composer
Alexey Sergunin

Alexey Sergunin is a pianist and composer. He graduated from Moscow State College of Musical Performance named after F. Chopin. Alexey took courses offered both by the Piano Department (under the guidance of Prof. K. V. Knorre) and the Composition Department (under the guidance of Prof. A.V. Chaikovsky). Alexey made his own transcriptions for large orchestral works such as Igor Stravinsky’s “The Rite of Spring”, John Adams’s “Century Rolls”, and Leonid Desyatnikov’s ballet “Lost Illusions”. He also tried his hand in jazz improvisation. Alexey Sergunin is a band member and a band composer of ‘The SEMB’, which works represent a blend of the aesthetics of Modern and Baroque. Alexey collaborates with the All-Russia State Institute of Cinematography as a composer; he is a participant and a laureate of all-Russian and international competitions.

Olga Kotina
Olga Kotina
NLMK
Olga Kotina
NLMK

Olga Kotina is the Head of Credit Risk at NLMK. She has 12 years of experience in risk management in banks that are ranked among the top 50 Russian banks.

Olga Stepanova
Olga Stepanova
Prognoz
Olga Stepanova
Prognoz

In 2002, Olga Stepanova graduated from the Economics Faculty , Moscow State University, with a degree in General Economics. In 2004, she received a master's degree in Mathematical Methods of Analysis in Economics from the Economics Faculty, Moscow State University. Olga worked in the Market Risks Department of Russian Agricultural Bank. She was also Head of the Market Risk Department at NOMOS Bank. Currently, Olga Stepanova is Deputy Head of the Financial Market Solutions Center at Prognoz.

Henry Penikas
Henry Penikas
Higher School of Economics
Henry Penikas
Higher School of Economics

With 12 years' experience of working with financial organizations and industrial companies, Henry Penikas is a project manager at the Risk Management Board at Alfa Bank. Since 2005, he has been reading lectures at Higher School of Economics. In 2014, he was a guest lecturer at University of Pavia, Italy. Since 2016, Henry has been member of the Management Board of the PRMIA Russia Chapter, in addition to being in charge of the ICAAP and Basel III group at the Association of Russian Banks (ARB). He is also a member of the European Association for Banking and Financial History (EABH).

In 2008, Henry received a master's degree in Economics from Paris 1, or Panthéon-Sorbonne University. In 2011, he defended his Ph.D. thesis in Mathematical and Instrumental Methods in Economics. Henry Penikas has authored 75 research publications.

Yevgeniy Vasin
Yevgeniy Vasin
Quantstellation
Yevgeniy Vasin
Quantstellation

Polina Mikhailova
Polina Mikhailova
Psychologist
Polina Mikhailova
Psychologist

PWS 2016 Materials

Art of Yield Curve Modelling:
Joint Consistency of Russian Government Bond Quotes

Victor Lapshin (FERM Lab HSE)
joint work with Marat Kurbangaleev
PDF

Art of Regulation:
A case of the Fundamental Review of the Trading Book revisited

Alexey Lobanov (Bank of Russia)
PDF VIDEO

Financial and economic networks

Rosario Mantegna (Central European University)
PDF VIDEO

Art of Risk Management

Henry Penikas (Higher School of Economics)
PDF VIDEO

Art of Risk Management

Olga Stepanova (PROGNOZ)
PDF VIDEO

The Interbank market and the core-periphery structure in networks

Rosario Mantegna (Central European University)
PDF VIDEO

Blockchain Settlement: Protocols and Scalability Issues

Mikhail Nikulin (Lykke)
PDF VIDEO

Global Marketplace Design

Richard Olsen (Lykke)
PDF VIDEO

Contagious Markets:
On Crowd Psychology and High-Frequency Trading

Ann-Christina Lange (Copenhagen Business School)
PDF VIDEO

TRADING & RISK LAB

Vyacheslav Arbuzov (Prognoz Risk Lab),
Ann-Christina Lange (Copenhagen Business School),
Yevgeniy Vasin (Quantstellation),
Polina Mikhailova (Psychologist)
VIDEO

ART & SCIENCE LAB

Daria Parkhomenko (Laboratoria Art&Science Space)
VIDEO

MUSIC & THEATRE LAB

Georgiy Mansurov (MusicAeterna),
Alexey Sergunin (Composer)
VIDEO

RESEARCH SESSION

VIDEO
Partners
Organizer
School venue
Endorsed by
Co-organizers
Partners Киты еды Гранит-капитал
Information partners bankir.ru Банковские технологии Бизнес-класс Новый компаньон Радио Эхо Москвы (Пермь) КоммерсантЪ Прикамье