Past events

Perm Winter School 2012

About PWS’12


Risk Party


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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)

PDF(1MB) Video


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)
Master in Finance & IT program in Perm
Dr. Sergey Ivliev (Perm State University)
Parallel computations in financial markets research
Viacheslav Arbuzov, Konstantin Gavrilov (Perm State University)
Integration and Contagion of BRIC Stock Markets: An Empirical Analysisl
Krishna Reddy Chittedi (CDS)
P-adic theory of stock market, agents based model
Viktor Zharkov (Natural Science Institute of Perm State University)
How We Morphed the Science of Probability
Bismark Singh (University of Texas at Austin)