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Perm Winter School 2014

About PWS’14




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PWS 2013 materials

Lecture Docs
Financial regulationin the post-model world: A case of market risk and high-frequencytrading
Alexey Lobanov, Bank of Russia
PDF  Video( 1, 2, 3)
Market mill dependence pattern in high frequency financial series
Andrey Leonidov, Lebedev Physical Institute
PDF  Video
Systemic Risk — a Review and Current Methods
Andy Jobst, Bermuda Monetary Authority
PDF  Video( 1, 2, 3)
Risk modelling in equities: theory vs practice
Evgeny Rafikov, Evgeny Vasin, Quantstellation
PDF  Video
On the analysis of stochastic models of the dynamics of prices, taking into account jumps and lag
Igor Poloskov, Perm State University
PDF  Video
The CRO’s View of RM — History, Risk Governance, Culture
Philip M Halperin, Gazprombank
PDF  Video( 1, 2, 3, 4)
“Financial Networks” Economic Links, Counterparty Risk and Network Debt
Ramo Gencay, Simon Fraser University
PDF  Video( 1, 2)
Term structure of credit spreads and risk free rates -- fitting on bonds and CDS
Victor Lapshin, Higher School of Economics
PDF  Video
Diagnosing the next financial bubbles
Didier Sornette, ETH Zurih
Video( 1, 2, 3, 4)
Risk management: present, past and perspectives of development in Eurasia. Premiere of animation film "Risk management model"
Mikhail Rogov, Eurasian Federation Of Risk Managers
Modeling bank’s probability of default in IRB framework
Alexander Karminsky, Higher School of Economics
Benchmark selection for conversion operations efficiency in corporations
Maxim Arkhipov, Gazprom
Commodity risk in the banks of the Republic of Belarus
Svetlana Malykhina, National Bank of Belarus
Credit risk evaluation in residential mortgage lending
Agatha Poroshina, Higher School of Economics
Risk analysis of economic bubbles in real estate markets in large Russian cities
Alexander Alekseev, Perm National Research Polytechnic University
Fibonacci numbers in adelic theory of stock market
Viktor Zharkov, Perm State University
The American tax: research and forecasting of prices
Ekaterina Kakorina, European University in St. Petersburg
Creating of cash flows as the tool to manage liquidity risk in leasing activity
Maria Mishina, Kazan Federal University
Introduction to financial modeling in R platform
Vyacheslav Arbuzov, Perm State University