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  • 05Sep
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    Theme Students Research question Guidance Prognoz Advisor Guidance PSU
    Stress-testing & Early warning Anna RomodinaKirill Boldyrev How build a consistent multi-factor stress scenario? How to improve PStress methodology? Sergey Ivliev,Elena Nikiforova Alan Laubsch -
    Financial bubble diagnostics Irina Alonova How to predict a bubble based on market macro- and microstructure? Slava Arbuzov Vladimir Filimonov -
    Market shocks & Market microstructure Alex Viskov What is the typology of market shocks? What are the causes of the shock? Sergey Ivliev,Maria Frolova Fabrizio Lillo Prof.Maksimov
    Financial Engineering of Structured Products Daria Plastinina How to build required risk-return profile with use of available financial instruments? Tatiana Efremova? Victor Lapshin Poloskov?
    Banks Strategies on Retail Deposits Market Victor Bespalov How to build indicators for aggressiveness of a bank on retail deposits market? Konstantin Kuznetsov Olga Kolokolova Prof.Simonov
    ALM-models Sergey Vlasov How to forecast cash flows of the retail products? Sergey Ivliev U of Bologna -
    Volatility prediction models Alexey Kutergin How to predict volatility for the next 1 day of 1 week? Tatiana Efremova Vladimir Filimonov N.V.Frolova?Prof.Simonov
    Tbd Yulia Dektereva - - - Prof.Maksimov
    Dependence measures, tail risk - - Sergey Ivliev,Elena Nikiforova Andy Jobst -
    Optimal execution in CDA - How to build a strategy of optimal execution on low-liquid market? Mikhail Nikulin Victor Lapshin,Fabrizio Lillo B.Myznikova

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