News

The article "Optimal Solution for Immunizing Arbitrarily Scheduled Multiple Liabilities" (In Rus.) of Kurochkin S., Rodina V. is accepted for publication in the "Economics and Mathematical Methods" journal.

Abstract. Immunization, a control tool for interest rate dependent changes in the value of an asset portfolio given a similar dependency for a target liability portfolio, is central to portfolio management. A vast body of academic literature describes various immunization models either for the case of a single liability payout or assuming a specific change in the yield curve or both. This paper is the first to propose an immunization solution for the case of multiple liability payouts assuming arbitrary changes in the yield curve. For the case of multiple liability payouts, we generalize M-Absolute, which is a risk measure proposed by Nawalkha и Chambers (1996), and estimate the proximity of payment streams with EMD (the Wasserstein distance) which is a well-known tool in machine learning. In line with Fong and Vasicek (1984), it is shown that portfolio’s interest rate risk is constrained to a product of two factors with one factor, EMD between asset and liability streams, being only dependent on the portfolio structure and the other factor, the sup-norm of the function of interest rate shocks, being solely determined by changes in the yield curve. We also show the unimprovability of the estimate and obtain, in an explicit form, a computational procedure for the optimal immunizing portfolio. The results are practically applicable as exemplified by the immunization of an annuity-type security with a portfolio of government bonds.

On March 29, 2023, a joint scientific seminar of the Department of Economics and Finance and IDLab was held. The speaker at the seminar was the representative of the CBR Anna Burova, who presented the results of a study with co-authors Danila Karpov, Denis Koshelev on the topic "Decomposition of credit growth using granular data"

On March 12, the Higher School of Economics held an open day for undergraduate and specialist applicants. Many activities took place in the building on Pokrovsky Boulevard: Presentations of faculties and campuses, speeches by the Admissions Committee,  events held by student organizations and a tour of the historical buildings of the university.

On March 22, an interactive lecture “Does Culture Matter?” was held at the Atomic Energy Information Center (AEIC) in Nizhny Novgorod.

Articles by Elena R. Iarskaia-Smirnova (laboratory head), Linda Jean Cook (academic supervisor), leading researchers Daria Prisyazhniuk and Mike Titterton are published in the thematic issue of the journal Social Policy and Society.

On March 23, 2023 the Laboratory of Molecular Physiology held a seminar 'Improvement of physiological properties of the intestinal barrier in microfluidic devices'.

On March 28, 2023, another seminar of the Center for Sociocultural Research of the National Research University Higher School of Economics, “Culture Matters,” took place. As part of this seminar, Dmitry Igorevich Dubrov, PhD in Psychology and researcher at the Center for Sociocultural Research, associate professor of the Department of Psychology, made a report on the topic: “Predictors of increasing an individual’s physical attractiveness using the examples from 93 countries.”

Head of the International Laboratory for Digital Transformation in Public Administration Evgeny Styrin commented on the process of digitalization in the public sector under sanctions based on a survey of civil servants conducted by the Polylog agency.

On March 29 (Wednesday), 2023, a regular meeting of the all-Moscow scientific seminar "Mathematical Methods of Decision Analysis in Economics, Business and Politics" took place at the National Research University "Higher School of Economics".

International Laboratory of Bioinformatics took part in the conference "RNA Editing"