Modern risk systems
Papers published in 2012

Companion sites: Russian version


  1. Novosyolov A.A. Fire risk control in natural conditions and in technical environment. Proceedings of the XI International conference on financial and actuarial mathematics and eventology of safety, Krasnoyarsk, SFU, 2012, 212-214. (in Russian)
    Abstract
    The paper is devoted to description of some methods for calculation of damage risk as a result of fire for objects of different physical nature and geometric features. Models of fire risk control are also presented.
    Unavailable for downloading.

  2. Novosyolov A.A. Modeling of correlation rising using mixtures. Proceedings of the XVI International conference on eventological mathematics and related topics. 2012, 149-152. (in Russian)
    Abstract
    Financial markets used to be in a relatively calm state most of the time, and only seldom they are exposed to sharp jumps. As a consequence, modeling of financial markets encounter a paradox. Calm time model is being built using a lot of data, so usually it is rather precise, though control under risk does not require very precise model. On the other hand, there is always lack of crisis time data, though crisis time model should be highly reliable to make critical decisions. To overcome the difficulty, there are methods allowing to use all the data to build crisis time model. One such method is presented in the paper.
    Unavailable for downloading.

  3. Cox, L.A., Novosyolov, A. Introduction to the Special Issue: Insights and Applications from Financial Risk Analysis Risk Analysis: an International Journal, 32 (2012), 8, 1275-1276.
    Abstract
    This is an introduction to a special issue of the journal devoted to brodging the gap between financial and non-financial fields of risk analysis. The special issue is contained in the number 8 of the 2012 volume, and includes 4 papers.
    Unavailable for downloading.

  4. Novosyolov A.A. Subjective perception of risk, Risk management in credit organization, 1 (2012), 110-112. (in Russian)
    Abstract
    In the current issue we discuss risk management problems, which stem from different personal risk perception by different people. A few modeling methods are described, including classic expected utility theory by J. von Neuman.
    Unavailable for downloading.

  5. Novosyolov A.A. Risk-neutral probability. Risk management in credit organization, 2 (2012), 109-112. (in Russian)
    Abstract
    We discuss the concept of risk-neutral distribution as a technical mean for derivative financial tools pricing. Relation to individual risk perception is also demonstrated.
    Unavailable for downloading.

  6. Novosyolov A.A. Jensen's inequiality and Siegel paradox, Risk management in credit organization, 3 (2012), 107-110. (in Russian)
    Abstract
    We describe an application of Jensen's inequality to expectations, and present the so called Siegel paradox, in which there appears an illusion of violating the inequality under risk-neutral calculations in multi-currency environment. The paradox is resolved by observing the fact that risk-neutral distribution depends on the basic currency, and the distributions for different currencies differ.
    Unavailable for downloading.

  7. Novosyolov A.A. Algebra and information, Risk management in credit organization, 4 (2012), 105-108. (in Russian)
    Abstract
    We demonstrate modeling of information collecting in probabilistic models. The informational structure is described by systems (algebras) of events, which constitute so called filtration.
    Unavailable for downloading.


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