Ukraine's Crimea and Donbas region were invaded by the Russian Army on February 27, 2014. Crimea was annexed to Russia in 2014, and Donbas has become a frozen conflict zone. On February 24, 2022, Russia escalated into a full-scale war against Ukraine. Ukraine with the help of jounalists, volunteers, and the UN documents the Russian aggression. Learn about Ukraine before the war.

Viktor Tsyrennikov

Ph.D. in Economics, NYU
CV | Linked

| Promontory resume

I oversee a highly-skilled team of quants. We build and validate quantiative methodologies and models, develop and validate AI/ML applications, and consult on climate risk management and digital assets. My clients include banking institutions, insurance companies, fintechs, clearinghouses, and asset managers.
In my spare time, I continue research on International Finance, Macrofinance, and Econometrics

Recent

A Trillion Dollar Question: How Much Does Russia Cost Ukraine? My estimate is $1.3 trillion. [VOXEU]	The proportion of mortgage lending to "climate-vulnerable" geographies remains high between 2019 and 2020.

Publications

White papers and notes:

Mastering Fair Lending Analytics, Promontory, October 2023.
Vendor Model Documentation in the Age of AI, Promontory, July 2023.
AI for Risk Management, Promontory, March 2023.
The Evolution of OCC Expectations For Model Risk Management, Promontory, September 2022
Financial Risk Management: Practice and Governance in the COVID-19 Crisis, Promontory, August 2020.

Research papers:

Trading on Sunspots w Boyan Jovanovic, American Economic Review, December 2022
[ Working paper version ]
A Case for Market Incompleteness w L.Blume, T.Cogley, D.Easley, T.Sargent
Journal of Economic Theory, November 2018
[ Working paper version ]
Envelope Condition Method with an Application to Default Risk Models w C.Arellano, L.Maliar, S.Maliar
Journal of Economic Dynamics and Control, August 2016
[ Working paper version ]
International Portfolios: A Comparison of Solution Methods, w Katrin Rabitsch, Sergiy Stepanchuk
Journal of International Economics, November 2015
Exchange Rates and Trade Flows: Disconnected?, w W.Lian, D.Leigh, M.Poplawski-Ribeiro
World Economic Outlook, Chapter 3, October 2015
[ Bloomberg video ] [ VoxEU ]
Portfolio and Welfare Consequences of Debt Market Dominance, w Sergiy Stepanchuk
Journal of Monetary Economics, September 2015
Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs, w Tim Cogley, Tom Sargent
The Economic Journal, March 2014.
An extended appendix exploring many issues not covered in the main article:
Speculation and Wealth when Investors Have Diverse Beliefs and Financial Markets Are Incomplete
Capital Flows Under Moral Hazard
Journal of Monetary Economics, December 2012
Market Prices of Risk with Diverse Beliefs, Learning, and Catastrophes, w Tim Cogley, Tom Sargent
The American Economic Review, P&P, May 2012.
Heterogeneous Beliefs, Wealth Distribution, and Asset Markets with Risk of Default
The American Economic Review, P&P, May 2012.
Efficient Estimation of Semiparametric Copula Models, w Xiaohong Chen, Yanqin Fan
Journal of the American Statistical Association, September 2006.
Extended version with numerical examples.
[ Download sample Matlab code, zip archive, 12KB ]

Working papers

Life-changing schools

Lviv physics and mathematics lyceum, the best high-school in Ukraine.
Tom Sargent's reading group, the best group for Economics addicts.
See also "alumni flower"
Kyiv School of Economics, a premier master's program in Eastern Europe.

Links

Lviv, my hometown is one of the top tourist destinations in Ukraine.
Ukraine, my homeland. Before the war with Russia, Ukraine ranked 14th in London 2012 Olympic Games, 4th in paralympics.
VoxUkraine: analysis of economic and political news in Ukraine.