About the Lab
The Financial Engineering & Risk Management Lab was created in March 2007 at the HSE Faculty of Economic Sciences. Teachers, as well as postgraduate and undergraduate students in the Risk Management Department are involved in the Laboratory’s research work.
The Laboratory aims to undertake research on modern financial engineering, risk management and actuarial methods in financial institutions such as banks, investment and insurance companies and companies in the real sector. Furthermore, the Laboratory seeks to provide advanced education in these areas.
The Laboratory’s activities contribute to organically connecting the educational and research process and help to solve the problem of stimulating teachers to actively incorporate the results of research in the learning process. These activities also serve to integrate students in the research process by instilling in them the skills of creative scientific research and validation of results.
The main activities of the Laboratory:
- Gathering financial and economic information
- Filtering financial and economic information and recovery of missing data
- Constructing zero-coupon yield curves and credit spreads
- Researching empirical finance to study the microstructure of financial markets
- Developing structured financial product pricing models and hedging the obligations that arise from such products
- Risk evaluation and risk management
- Actuarial studies
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