Исследования и публикации

COVID-19 pandemic impact on banking sector

Recent COVID-19 coronavirus pandemic will have an essential influence of vastness yet to be determined
on the global economic processes since many countries with both advanced and emerging economies chose
lockdown of a varied severity as the main means of fighting the virus. This review paper considers the
impact of the virus outbreak on the banking sector, considering both short- and long-term implications.

4 мая, 2020

On integration of ESG criteria in portfolio framework

Motivated by the growing trend of considering Environmental, Social, and Governance (ESG for short) criteria in investment strategies, this paper provides a brief review of the currently popular approaches to ESG criteria integration into H. Markowitz portfolio framework.

3 марта, 2020

Cyber bonds and their pricing models

Motivated by the developments in cyber risk treatment in the finance industry, we propose a general framework of cyber bond, whose main purpose is to insure (compensate) losses of a cyber attack. Based on a database of publicly available cyber events, we determine cyber loss distribution parameters and use them to numerically simulate cyber bond price, yield, and other characteristics. We also consider two possible approaches to cyber bond coupon calculation.

26 ноября, 2019

Когнитивные технологии исследования информационных массивов для восстановления неявных знаний и данных

Журнал "Нефтяное хозяйство". 2018. №12. Стр. 76-78

27 декабря, 2018

Сравнение МП- и ММ-оценок длительности мертвого времени в модулированном МАР-потоке событий

Вестн. Том. гос. ун-та. УВТиИ. 2016. № 3(36). С. 26-34.

7 февраля, 2018

Portfolio Optimization in the Financial Market with Regime Switching under Constraints and Transaction Costs Using Model Predictive Control

European Control Conference (ECC). - Linz, Austria, 2015