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Regular version of the site

Financial Engineering & Risk Management Lab

Publications
Article
Inconsistencies in bond market quotes: is it the wrong model or the wrong data? In print

Lapshin V. A.

Journal of Computational Science. 2017.

Book chapter
Modeling Financial Market Using Percolation Theory

Byachkova A.

In bk.: Financial Econometrics and Empirical Market Microstructure. NY: Springer, 2015. P. 47-53.

Working paper
Boundedness of the value function of the worst-case portfolio selection problem with linear constraints

Andreev N. A.

Financial Economics. FE. Высшая школа экономики, 2017. No. WP BRP 59/FE/2017.

The Financial Engineering & Risk Management Lab was founded in March 2007 to undertake advanced research in financial engineering, risk management and actuarial methods for financial institutions, such as banks, insurers and asset management companies, as well as non-financial enterprises. The laboratory has unique experience in developing mathematical models, analytical methods and business processes and implementing them leading Russian financial sector companies. Successful implementation of applied projects by the Laboratory has supported the establishment of working relationships with leading foreign and international organizations, such as the Professional Risk Managers International Association (PRMIA), the European Federation of Financial Analysts Societies, the European Bond Commission (EFFAS-EBC), and the China Government Securities Depository Trust & Clearing. 


September 29, 2015 the meeting of the Laboratory

At September 29th, 2015 a meeting of Laboratory was dedicated to the analysis of the asymptotic properties of a guaranteed estimation of option pricing. The meeting was attended by members of the lab and colleagues Andrew Zanochkin from the Moscow State University and Ali Moussa from the People's Frendship University of Russia.

Joint scientific seminar of Financial Engineering & Risk Management Laboratory and the Laboratory of Financial Economics

At Tuesday, April 12,  joint scientific seminar on Financial Engineering Laboratory and the Laboratory of Financial Economics was held. There was a speech of Obizhaeva Anna (University of Maryland): "Market Microstructure Invariants".


Scientific Workshop "Financial Risk Management and Insurance"

On December 5th where was a the traditional laboratory workshop on financial engineering and risk management, where the speech of Kevin Knight was presented. Kevin Knight is leader of the ISO working group of developing an international standards of risk management. 
The topic of speech: «New Standards for the Management of Risk».