COMPETENCY & STRENGTHS Expert knowledge of: • Value-at-Risk methods and computational tools implemented in and beyond standard “RiskMetrics” software such as Monte Carlo simulation, parametric and non-parametric methods, extreme value theory, catastrophe theory, modern aspects of ruin ...more

COMPETENCY & STRENGTHS Expert knowledge of: • Value-at-Risk methods and computational tools implemented in and beyond standard “RiskMetrics” software such as Monte Carlo simulation, parametric and non-parametric methods, extreme value theory, catastrophe theory, modern aspects of ruin probability theory, etc.; • Expected shortfall and default probabilities for portfolios of different securities; • Pricing of complex path-dependent derivatives and portfolios of these derivatives; • Multivariate analysis and integration within and beyond (fat-tailed and asymmetric multivariate distributions) the Gaussian paradigm; Copulas approach to multivariate problems; • Full-scale development and implementation of real-time risk monitoring and management (for various equity and currency trading systems) including their real-time calibration and self-teaching based on market prices and trading results. My Erdos number is 4.less