Доступ предоставлен для: Guest
Портал Begell Электронная Бибилиотека e-Книги Журналы Справочники и Сборники статей Коллекции
Journal of Automation and Information Sciences
SJR: 0.275 SNIP: 0.59 CiteScore™: 0.8

ISSN Печать: 1064-2315
ISSN Онлайн: 2163-9337

Выпуски:
Том 52, 2020 Том 51, 2019 Том 50, 2018 Том 49, 2017 Том 48, 2016 Том 47, 2015 Том 46, 2014 Том 45, 2013 Том 44, 2012 Том 43, 2011 Том 42, 2010 Том 41, 2009 Том 40, 2008 Том 39, 2007 Том 38, 2006 Том 37, 2005 Том 36, 2004 Том 35, 2003 Том 34, 2002 Том 33, 2001 Том 32, 2000 Том 31, 1999 Том 30, 1998 Том 29, 1997 Том 28, 1996

Journal of Automation and Information Sciences

DOI: 10.1615/JAutomatInfScien.v44.i2.60
pages 65-80

Bank Capitalization Theorem

Nikolay S. Gonchar
N.N. Bogolyubov Institute of Theoretical Physics of National Academy of Sciences of Ukraine, Kiev, Ukraine

Краткое описание

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.

ЛИТЕРАТУРА

  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.


Articles with similar content:

Dynamical Risk Model with Investment in Assets
Journal of Automation and Information Sciences, Vol.46, 2014, issue 5
Nikolay S. Gonchar
On the Probability Estimate of the Insurance Company Bankruptcy in the Model with Stochastic Premiums and Claims and the Opportunity to Invest in Financial (B, S)-market
Journal of Automation and Information Sciences, Vol.42, 2010, issue 9
Boris V. Bondarev, Tatyana V. Zhmykhova, Artem V. Baev
The Method of Main Coordinate in the Theory of Parametric Synthesis of the Linear Stabilized Systems
Journal of Automation and Information Sciences, Vol.49, 2017, issue 3
Tatyana Ye. Aleksandrova , Yevgeniy Ye. Aleksandrov
Synthesis of Impulse Controls under Phase Constraints
Journal of Automation and Information Sciences, Vol.48, 2016, issue 3
Alexander B. Kurzhanski
Problem of Distribution and Routing of Transport Blocks with Mixed Attachments and Its Decomposition
Journal of Automation and Information Sciences, Vol.47, 2015, issue 2
Vladimir A. Vasyanin