SOME APPROACHES TO FINANCIAL RISK ASSESSMENT

被引：2
|
作者：
Voyk, L. B. [1 ]
Knopov, A. P. [1 ]
Pepeljaeva, T. V. [1 ]
机构：
[1] Natl Acad Sci Ukraine, VM Glushlvv Inst Cybernet, Kiev, Ukraine
来源：
CYBERNETICS AND SYSTEMS ANALYSIS | 2010年 / 46卷 / 03期
关键词：
credit risk; risk management; risk assessment; stochastic programming; stochastic optimization; risk function;
D O I：
10.1007/s10559-010-9225-y
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
A credit risk management problem for insurance investment companies is considered. An approach based on regression analysis with the use of CVaR estimate is proposed.
引用
收藏
页码：500 / 505
页数：6
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