Past events
PWS 2012 materials
| Lecture | Docs |
|
How market microstructure affects liquidity and market risks
Prof. Dr. Fabrizio Lillo (Scuola Normale Superiore di Pisa, University of Palermo, Santa Fe Institute)
|
PDF(19MB) Video |
|
Quantifying reflexivity in financial markets: towards a prediction of flash crashes
Dr. Vladimir Filimonov (ETH Zurich)
|
PDF(5MB) Video |
|
Risk based margining and impact-cost risk management
Junaid Khalid, FRM (Arif Habib Investments)
|
PDF(1MB) Video |
|
Modern approaches to managing market risk using VaR-limits
Dr. Alexey Lobanov, FRM (REA Research Risk Management Group)
|
PDF(1MB) Video |
|
Regulatory framework for risk management process development in Belarus
Svetlana Malykhina (National Bank of Republic of Belarus)
|
PDF(1MB) Video |
|
Internal measures to counteract the improper use of insider information
Denis Gawinskiy (Federal Financial Market Service of Russia)
|
PDF(1MB) Video |
|
Market risk measurement for «best selection» strategy portfolios: portfolios
of pension funds case
Dmitry Timofeev (TKB BNP Paribas Investment Partners)
|
|
|
Structured products pricing
Dmitry Mikhaylov (Alfa-Capital Asset Management)
|
PPT(4MB) Video |
|
Market risk measurement for «benchmark» strategy portfolios, tracking error estimation
based on multifactor pricing model
Natalia Korobkina (TKB BNP Paribas Investment Partners)
|
PDF(1MB) Video |
|
Market risk stress-testing
Tatyana Efremova (Prognoz Risk Lab)
|
PDF(2MB) Video |
|
Evidence of microstructure variables' nonlinear dynamics from noised high-frequency
data
Nikolay Andreev (FERM LAB)
|
PDF(1MB) Video |
|
Latency in algorithmic trading
Pankaj Kumar (Perm State University)
|
PDF(1MB) Video |
|
Market shocks in Russian stocks prices
Maria Frolova (Prognoz Risk Lab)
|
PDF(3MB) Video |
|
Joint non-parametric approach to credit and interest rate risk modeling
Dr. Victor Lapshin (FERM LAB)
|
PDF(1MB) Video |
|
Low-default IRB model calibration with genetic algorithms
Dr. Mikhail Pomazanov (Risk Rating Group, Rus Risk)
|
PDF(4MB) Video |
|
Operational risk management system deployment
Tatyana Melnikova (PRMIA Russia)
|
PDF(1MB) Video |
|
Prognoz Academy 2.0
Ksenia Kolesnikova (Prognoz)
|
PDF (1MB) |
|
Master in Finance & IT program in Perm
Dr. Sergey Ivliev (Perm State University)
|
PDF (1MB) |
|
Parallel computations in financial markets research
Viacheslav Arbuzov, Konstantin Gavrilov (Perm State University)
|
PDF (3MB) |
|
Integration and Contagion of BRIC Stock Markets: An Empirical Analysisl
Krishna Reddy Chittedi (CDS)
|
PDF (1MB) |
|
P-adic theory of stock market, agents based model
Viktor Zharkov (Natural Science Institute of Perm State University)
|
PDF (1MB) |
|
How We Morphed the Science of Probability
Bismark Singh (University of Texas at Austin)
|
PDF (1MB) |