Research is focused, mostly on Financial Engineering applications (portfolio optimization, asset and liability management (ALM), trading strategies, credit cards scoring, credit rating, derivatives pricing), Structured Finance (collateralized debt obligation (CDO), convertible bonds, mortgage backed securities), Risk Management (optimization of tail risk, Value-at-Risk (VaR), Conditional Value-at-Risk (CVaR), Expected Shortfall, Credit Risk, Drawdown, option pricing) and military applications.
TEST PROBLEMS with data and calculation results: RISK MANAGEMENT, FINANCIAL ENGINEERING, ADVANCED STATISTICS, LOGISTICS, and MEDICAL APPLICATIONS.