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Journal of Automation and Information Sciences

年間 12 号発行

ISSN 印刷: 1064-2315

ISSN オンライン: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

Indexed in

Bank Capitalization Theorem

巻 44, 発行 2, 2012, pp. 65-80
DOI: 10.1615/JAutomatInfScien.v44.i2.60
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要約

Model of bank operation is proposed. Integral equation of banking failure is obtained and its solution is constructed. Depending on parameters of investment medium this solution is investigated. We specify the value of bank capital, for which probability of banking failure during certain period of bank activity is estimated only by probability of unavoidable risk, which is defined as probability of potential of loss of a part of invested capital in the case of disadvantageous economic situation. The value of this capital is called as volume of bank capitalization.

参考
  1. Cramer H., On the mathematical theory of risk.

  2. Lundberg F., Some supplementary researches on the collective risk theory.

  3. Altman E., Financial ratios, discriminant analysis and the prediction of corporate bankruptcy.

  4. Merton R., On the pricing of corporate debt: the risk structure of interest rates.

  5. Duffie D., Pan J., An overview of value at risk.

  6. Artzner P., Delbaen R., Eber J.M., Heath D., Coherent measures of risk.

  7. Gonchar N.S., Mathematical foundations of information economics.

によって引用された
  1. Gonchar N. S., Mathematical Model of Banking Operation, Cybernetics and Systems Analysis, 51, 3, 2015. Crossref

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