Dmitrij Celov
Vilnius University
Dmitrij Celov earned his PhD in Mathematics from Vilnius University in 2008, with a focus on time series aggregation and long-memory processes. He has over 20 years of experience in econometric modelling, macroeconomic analysis, and risk analytics across academia, central banks, and financial institutions. Dmitrij began his career at the LAS Institute of Economics (2002–2009), where he contributed to the development of Lithuania’s first macroeconomic models and assessments of economic impacts from EU structural funds. As a Lecturer and Associate Professor at Vilnius University since 2005, he has taught courses in econometrics, game theory, economic growth, and statistical learning. He later developed nowcasting and forecasting tools at the Bank of Lithuania (2013–2016) and assessed budgetary processes at the National Audit Office (2016–2018). Between 2018 and 2023, he served at Danske Bank, where he worked on IRB modelling, PD/LGD estimation, and stress testing. Since spring 2023, he has led IFRS 9 modelling at Luminor Bank, overseeing risk analytics and model governance.
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Articles by Dmitrij Celov
Exceedance-based backtesting of expected shortfall
The authors apply exceedance-based validation techniques often used for VaR model validation the the validation of ES models, showing such an application to be feasible.