129 Alexey Lobanov Belarusian Banking System: Market Risk Factors. 115 Victor Lapshin Current Trends in Prudential Regulation of Market Risk: From Basel I to Basel III. 99 Eva Kvasničková Term Structure Models. 73 Olga KolokolovaĮquilibrium on the Interest Rate Market Analysis. 63 Aleksey Kolokolov A Note on the Dynamics of Hedge-Fund-Alpha Determinants. 57 Vadim Gribnikov, Dmitry Shevchenko Hedging with Futures: Multivariante Dynamic Conditional Correlation GARCH. 47 Vladimir Gisin, Andrey Markov Influence of Behavioral Finance on the Share Market. 37 Tatyana Efremova, Sergey Ivliev Asset Pricing in a Fractional Market Under Transaction Costs. 25 Viacheslav Arbuzov, Maria Frolova Modeling of Russian Equity Market Microstructure (MICEX:HYDR Case). 15 Nikolay Andreev Market Liquidity Measurement and Econometric Modeling. Market Risk and Financial Markets Modeling Estimation of Market Resiliency from High-Frequency Micex Shares Trading Data. Questions of Top Management to Risk Management. Dmitry Andrianov, Natalya Frolova, Sergey Ivliev Didier Sornette, Susanne von der Becke On the Development of Master in Finance & IT Program in a Perm State National Research University. Introduction Financial Market and Systemic Risks. Printed on acid-free paper Springer is part of Springer Science+Business Media (Contents in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The use of general descriptive names, registered names, trademarks, etc. Violations are liable to prosecution under the German Copyright Law. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. ISBN 978-0-0 e-ISBN 978-1-7 DOI 10.1007/978-1-7 Springer Heidelberg Dordrecht London New York Library of Congress Control Number: 2012930390 © Springer-Verlag Berlin Heidelberg 2012 This work is subject to copyright. Sergey Ivliev Prognoz Risk Lab Perm State University Perm, Russia Hilary Woodard D-MTEC ETH Zürich Zurich, SwitzerlandĪsst. Didier Sornette D-MTEC ETH Zürich Zurich, Switzerland Market Risk and Financial Markets Modeling Perm Winter SchoolĮditors Prof.

Market Risk and Financial Markets Modeling

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