Henry Penikas

According to our database, Henry Penikas authored at least 12 papers between 2012 and 2021.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2021

Agent-based model of the Russian banking system: Calibration for maturity, interest rate spread, credit risk, and capital regulation.

Maria Ermolova, Andrey Leonidov, Vladimir Nechitailo, Henry Penikas, Nikolay Pilnik, Ekaterina Serebryannikova

J. Simulation, 2021

2019

The impact of PD-LGD correlation on bank capital adequacy in nongranular loan portfolio.

Maria Ermolova, Henry Penikas

Model. Assist. Stat. Appl., 2019

2017

PD-LGD correlation study: Evidence from the Russian corporate bond market.

Maria Ermolova, Henry Penikas

Model. Assist. Stat. Appl., 2017

Basel regulation: A dangerous obsession.

Maria Ermolova, Henry Penikas

Model. Assist. Stat. Appl., 2017

2016

Optimal hedging ratio modeling using interday and intraday risk estimation: Moving window regression vs. cointegration approach.

Henry Penikas, Igor Sirotkin

Model. Assist. Stat. Appl., 2016

QAIDS Model Based On Russian Pseudo-panel Data: Impact of 1998 and 2008 Crises.

Henry Penikas, Maria Ermolova

Proceedings of the Third Workshop on Experimental Economics and Machine Learning co-located with the 13th International Conference on Concept Lattices and Their Applications (CLA 2016), 2016

Coherence Analysis of Financial Analysts' Recommendations in the Framework of Evidence Theory.

Andrew G. Bronevich, Alexander Lepskiy, Henry Penikas

Proceedings of the 2nd International Workshop on Soft Computing Applications and Knowledge Discovery (SCAKD 2016) co-located with the 13th International Conference on Concept Lattices and Their Applications (CLA 2016), 2016

2015

The Application of Conflict Measure to Estimating Incoherence of Analyst's Forecasts about the Cost of Shares of Russian Companies.

Andrew G. Bronevich, Alexander Lepskiy, Henry Penikas

Proceedings of the Third International Conference on Information Technology and Quantitative Management, 2015

2014

Financial Risk as a Good.

W. Travis Selmier II, Henry Penikas, Ksenia Vasilyeva

Proceedings of the Second International Conference on Information Technology and Quantitative Management, 2014

A Financial Stability Index for Israel.

Vadim Arzamasov, Henry Penikas

Proceedings of the Second International Conference on Information Technology and Quantitative Management, 2014

2013

Dry Bulk Time Charter Rates Joint Return Distribution Modeling: Copula-Approach.

Andreas Merikas, Anna Merika, Henry Penikas

Proceedings of the First International Conference on Information Technology and Quantitative Management, 2013

2012

Copula-application to modelling Russian banking system capital adequacy according to Basel II IRB-approach.

Irina K. Andrievskaya, Henry Penikas

Model. Assist. Stat. Appl., 2012