Henry Penikas

12 papers Journal 6Unranked 6
YearRankTypeTitle / Venue / Authors
2021 J jnl
Agent-based model of the Russian banking system: Calibration for maturity, interest rate spread, credit risk, and capital regulation.
J. Simulation
Maria Ermolova, Andrey Leonidov, Vladimir Nechitailo, Henry Penikas, Nikolay Pilnik, Ekaterina Serebryannikova
2019 J jnl
The impact of PD-LGD correlation on bank capital adequacy in nongranular loan portfolio.
Model. Assist. Stat. Appl.
Maria Ermolova, Henry Penikas
2017 J jnl
Basel regulation: A dangerous obsession.
Model. Assist. Stat. Appl.
Maria Ermolova, Henry Penikas
2017 J jnl
PD-LGD correlation study: Evidence from the Russian corporate bond market.
Model. Assist. Stat. Appl.
Maria Ermolova, Henry Penikas
2016 — conf
Coherence Analysis of Financial Analysts' Recommendations in the Framework of Evidence Theory.
SCAKD@CLA
Andrew G. Bronevich, Alexander Lepskiy, Henry Penikas
2016 J jnl
Optimal hedging ratio modeling using interday and intraday risk estimation: Moving window regression vs. cointegration approach.
Model. Assist. Stat. Appl.
Henry Penikas, Igor Sirotkin
2016 — conf
QAIDS Model Based On Russian Pseudo-panel Data: Impact of 1998 and 2008 Crises.
EEML@CLA
Henry Penikas, Maria Ermolova
2015 — conf
The Application of Conflict Measure to Estimating Incoherence of Analyst's Forecasts about the Cost of Shares of Russian Companies.
ITQM
Andrew G. Bronevich, Alexander Lepskiy, Henry Penikas
2014 — conf
A Financial Stability Index for Israel.
ITQM
Vadim Arzamasov, Henry Penikas
2014 — conf
Financial Risk as a Good.
ITQM
W. Travis Selmier II, Henry Penikas, Ksenia Vasilyeva
2013 — conf
Dry Bulk Time Charter Rates Joint Return Distribution Modeling: Copula-Approach.
ITQM
Andreas Merikas, Anna Merika, Henry Penikas
2012 J jnl
Copula-application to modelling Russian banking system capital adequacy according to Basel II IRB-approach.
Model. Assist. Stat. Appl.
Irina K. Andrievskaya, Henry Penikas