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  • HSE University
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  • Financial Engineering & Risk Management Lab

Financial Engineering & Risk Management Lab

Publications
Article
Choosing the weighting coefficients for estimating the term structure from sovereign bonds In press

Sofia Sohatskaya.

International Review of Economics and Finance. 2020.

Book chapter
Guaranteed Deterministic Approach to Superhedging: Lipschitz Properties of Solutions of the Bellman–Isaacs Equations

Smirnov S. N.

In bk.: Frontiers of Dynamics Games: Game Theory and Management, St. Petersburg, 2018. Birkhauser/Springer, 2019. P. 267-288.

Working paper
Choosing the Weighting Coefficients for Estimating the Term Structure from Sovereign Bonds

Lapshin V. A., Sofia Sokhatskaya.

Financial Economics. FE. Высшая школа экономики, 2018. No. WP BRP 73/FE/2018.

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. 


Research Project Seminars lead by FERM Lab

FERM Lab welcomes new research interns

FERM Lab is hiring research interns

Financial Engineering and Risk Management Lab is hiring research interns. BSc, MSc and PhD students of HSE are welcome to apply.

Professional development of the Laboratory staff members

Congratulations to M.Z. Kurbangaleev on completing the professional development course "Evaluation and Feedback", Moscow, Russia.

Report by the Laboratory staff members at the "Tikhonov readings 2019" scientific conference at the Lomonosov Moscow State University

On October 28, the Laboratory staff member Andreev N.A. made a report "Portfolio Selection in an Illiquid Market in the Presence of Model Error" at the "Tikhonov readings 2019" scientific conference at the Lomonosov Moscow State University.

Professional development of the Laboratory staff members

Congratulations to V.A. Lapshin on completing the course "Summer School on Deep Learning and Bayesian Methods", Moscow, Russia.

Report by the Laboratory staff members at the XX April International Academic Conference On Economic and Social Development of the National Research University Higher School of Economics

On April 10, the Laboratory staff members Lapshin V.A. and Sohatskaya S.R. made a report "Optimal Weight Selection for the Estimation of the Term Structure of Interest Rates" at the XX April International Academic Conference On Economic and Social Development of the National Research University Higher School of Economics.

Report by the Laboratory staff members at the XX April International Academic Conference On Economic and Social Development of the National Research University Higher School of Economics

On April 9, the Laboratory staff members Lapshin V.A. and Markov A.A. made a report "Confidence-Based Estimation of the Transient Probability Matrix in the Presence of Insufficient Data" at the XX April International Academic Conference On Economic and Social Development of the National Research University Higher School of Economics.

Professional development of the Laboratory staff members

Congratulations to Seleznyova Z.V. on completing the advanced training course "Empowering Your Writing in English: Academicvs. General", Moscow, Russia.

Professional development of the Laboratory staff members

Congratulations to V. A. Lapshin on completing the advanced training course "Cryptomarkets and Digital Democracy", Perm, Russia.