每年出版 12 期
ISSN 打印: 1064-2315
ISSN 在线: 2163-9337
Indexed in
Classification and Methods for Mathematical Description of Bank Risks
摘要
The general description of financal risks, approaches for description of risks and mathematical methods for determination and modeling of risks are represented. We described the structure of risks and gave recommendations for reduction of many types of risks in different situations and prevention of them. We state mathematical methods for description and determination of risks, namely, discontinuities, simple VaR, Δ-normal VaR; Δ-γ-normal VaR; the method of historical simulation and the Monte-Carlo method. For every method we adduce examples of determination and described their advantages and disadvantages. We considered operational risk, market risk, credit risk, business risk, liquidity risk and legal risk. For determination of market risks we use several methods, the simplest one is determination of maximum damage for the given level of credit. Percentage risk and liquidity risk can be determined with taking into account discontinuities of assets and liabilities. For considerable historical samplings one can use the method of historical simulation. The best results are achieved by means of the Monte-Carlo method, which is based on modeling of processes with given characteristics.