Dmytro is responsible for market and credit risk modeling using advanced statistical and applied econometrics techniques. This includes model development, estimation, validation, and forecasting various financial instruments and credit portfolio risk measures under alternative scenarios.
Published Work
Article

Dynamic Model-Building: A Proposed Variable Selection Algorithm

In this article, we propose an innovative algorithm that is well suited to building dynamic models for credit and market risk metrics, consistent with regulatory requirements around stress testing, forecasting, and IFRS 9.

January 2018