Market Risk and Financial Markets Modeling

1. Front Matter

   Pages 1-1

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2. Introduction

   1. Front Matter

      Pages 1-1

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   2. Financial Market and Systemic Risks

      • Didier Sornette, Susanne von der Becke

      Pages 3-6

   3. On the Development of Master in Finance & IT Program in a Perm State National Research University

      • Dmitry Andrianov, Natalya Frolova, Sergey Ivliev

      Pages 7-9

   4. Questions of Top Management to Risk Management

      • Sergey Chernov

      Pages 11-12

3. Market Risk and Financial Markets Modeling

   1. Front Matter

      Pages 13-13

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   2. Estimation of Market Resiliency from High-Frequency Micex Shares Trading Data

      • Nikolay Andreev

      Pages 15-24

   3. Market Liquidity Measurement and Econometric Modeling

      • Viacheslav Arbuzov, Maria Frolova

      Pages 25-36

   4. Modeling of Russian Equity Market Microstructure (MICEX:HYDR Case)

      • Tatyana Efremova, Sergey Ivliev

      Pages 37-46

   5. Asset Pricing in a Fractional Market Under Transaction Costs

      • Vladimir Gisin, Andrey Markov

      Pages 47-56

   6. Influence of Behavioral Finance on the Share Market

      • Vadim Gribnikov, Dmitry Shevchenko

      Pages 57-61

   7. Hedging with Futures: Multivariante Dynamic Conditional Correlation GARCH

      • Aleksey Kolokolov

      Pages 63-72

   8. A Note on the Dynamics of Hedge-Fund-Alpha Determinants

      • Olga Kolokolova

      Pages 73-97

   9. Equilibrium on the Interest Rate Market Analysis

      • Eva Kvasničková

      Pages 99-113

   10. Term Structure Models

       • Victor Lapshin

       Pages 115-127

   11. Current Trends in Prudential Regulation of Market Risk: From Basel I to Basel III

       • Alexey Lobanov

       Pages 129-139

   12. Belarusian Banking System: Market Risk Factors

       • Svetlana Malykhina

       Pages 141-149

   13. The Psychological Aspects of Human Interactions Through Trading and Risk Management Process

       • Polina Mikhailova

       Pages 151-169

   14. Options: Risk Reducing or Creating?

       • Marianna Morozova

       Pages 171-189

   15. Hierarchical and Ultrametric Models of Financial Crashes

       • Anna Pivovarova

       Pages 191-200

The current financial crisis has revealed serious flaws in models, measures and, potentially, theories, that failed to provide forward-looking expectations for upcoming losses originated from market risks. The Proceedings of the Perm Winter School 2011 propose insights on many key issues and advances in financial markets modeling and risk measurement aiming to bridge the gap. The key addressed topics include: hierarchical and ultrametric models of financial crashes, dynamic hedging, arbitrage free modeling the term structure of interest rates, agent based modeling of order flow, asset pricing in a fractional market, hedge funds performance and many more.

• Asset pricing models
• Basel III
• Financial market modeling
• Market risk

• Dept. Management,, Technologie und Ökonomie, ETH Zürich, Zürich, Switzerland

  Didier Sornette

• , Prognoz Risk Lab, Perm State University, Perm, Russia

  Sergey Ivliev

• , D-MTEC, ETH Zurich, Zurich, Switzerland

  Hilary Woodard

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