Gender

Male

Location

Moscow

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Chief specialist at market risk department in one of the biggest Russian bank Gazprombank. I am responsible to calculate VaR using delta normal and historical methods. Also I calculate expected shortfall, option delta, regressions. At the same time I study for aspirantura (post graduate education similar to phd, but with opportunity to work). During my education in aspirantura I do VaR calculation with set of distribution and GARCH models.

I am interested in

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