Henry I. Penikas

• Faculty of Economics | Department of Mathematical Economics and Econometrics: Senior Lecturer
• International Laboratory of Decision Choice and Analysis: Junior Research Fellow

Education

Research Area

• Banking System and Banking Regulation Research;
• Banking Activity Financial Modeling;
• Financial Risks Modeling;

Conference and Seminar Proceedings

Lvov N., Penikas H., Titova Y. Modeling The Consequences of Introducing GSIB Regulation // Round Table Discussion “Developping Financial Market Institutes and Their Activity Regulation” (March 29, 2012; Financial University, Moscow, Russia).

Penikas H., Titova Y. Modeling Policy Response to Global Systemically Important Banks Regulation // Workshop "Russian Banking in the Financial Turmoil: Research Opportunities and New Challenges" (November 25, 2011; Center for Institutional Studies, HSE; Moscow, Russia). 

Aleskerov F., Kornev A., Penikas H.I. Using Differentiated Approach to Countercyclical Capital Buffer Evaluation // Eurasia Business and Economics Conference 2011 (October 13-15, 2011; University of Zagreb; Zagreb, Croatia).

Penikas H.I. Copula-Based Russian Banks’ Risk Patterns Modeling // ‘Financial Econometrics’ Seminar (March 4, 2011; Moscow State University, economics faculty; Moscow).

 Penikas H.I. Russian Banking System’s Risks Modeling based on Copula-Models with Regard to Basel II IRB-Approach // Seminar ‘Banks and Enterprises: Models and Ratings’ (November 23, 2010; Russian Economic School, Moscow).

 Penikas H.I. Copula-Models in Market Risk Management of Russian Banks // Scientific Seminar of ‘Mathematics’ Department under supervision of Dr. S.E. Stepanov (November 10, 2010; Financial University under Government of Russian Federation; Moscow).

Andrievskaya I.K., Penikas H.I., Pilnik N.P. How to Deal with Basel II Procyclicality in Russia?// Eurasia Business and Economics Society (EBES) Conference (October 28 – 30, 2010; EBES - Athens, Greece).   How to Deal with Procyclicality in Russia?

Penikas H., Brodsky B., Safaryan I. COPULA STRUCTURAL SHIFT IDENTIFICATION // 3rd Financial Risks International Forum(March 26, 2010; Insitute Louis Bachelier, Europlace Institute of Finance; Paris)

Penikas H.I.  Copula-Models in the Bank’s Currency Risk  Management [in Russian] // Scientific Seminar “Multivariate Statistical Analysis and Probabilistic Modeling of Real Processes” (February 17, 2010; CEMI RAS; Moscow)

Penikas H.I.  Copula’s Application in the Risk Management of a Bank  [in Russian] // First Russian Economic Congress (December 12, 2009; New Economic Association; Moscow)

Penikas H.I. Yield Curve Forecasting in the Bank’s Asset-Liability Management [in Russian] //  VII^th International Seminar-School “Multivariate Statistical Analysis and Econometrics”  (September 24, 2008; CEMI RAS, MSE MSU, Russian-Armenian (Slavic) State University, Armenian State Economic University; Tsakhkadzor, Republic of Armenia)

Penikas H.I. Expert Methods of Credit Risk Analysis[in Russian] // Seminar “Expert Estimates and Data Analysis” (April 9, 2008; IPM RAS; Moscow)

Research Grants

2011 – Project «Carrying out analytical research and development works aiming at forstering all-Russian mobility in the area of information-communication and computational systems». Grant of Moscow Institute of Physics and Technology.

Theses

Thesis for a degree of Candidate of Science:

• H. I. Penikas Модели «копула» в управлении рыночным риском российских банков, 2011

Publications

2012

2011

2010

2009

2008

2007

2006