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.
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.
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».
