Modern risk systems
Papers published in 2013

Companion sites: Russian version


  1. Novosyolov A.A. Risk sharing among factors and assets. Proceedings of the XII International conference on financial and actuarial mathematics, and eventology of safety. Krasnoyarsk, SFU, 2013, 294-301. (in Russian)
    Abstract
    The paper is devoted to sharing portfolio riskiness measure among assets, comprising the portfolio, among risk factors of the model, and two-dimensional sharing among assets and factors. The results may be used not only for analysis of financial portfolio, but also for other complex systems in various branches of risk management.
    Unavailable for downloading.

  2. Novosyolov A.A. Some problems of fire risk control, Proceedings of the XII International conference on financial and actuarial mathematics and eventology of safety, Krasnoyarsk, SFU, 2013, 302-305. (in Russian)
    Abstract
    The paper is devoted to some problems of fire risk control under restricted resources, methods of their solution, and methods comparison. Results of numeric experiments are provided, as well as methods applying comments.
    Unavailable for downloading.

  3. Novosyolov A.A. Modeling of correlation rising for stress testing, Risk management in credit organization, 1 (2013), 92-103. (in Russian)
    Abstract
    Stress testing is an important part of risk management, consisting in studying consequences of some unusual scenarios with significant deviations of parameters from their mean values. Forcasting is being made using the risk models at hand. The core of current paper is building specific risk factors covariance matrix for using in stress testing.
    Unavailable for downloading.

  4. Novosyolov A.A. Collecting information and filtration. Risk management in credit organization, 1 (2013), 110-112. (in Russian)
    Abstract
    The process of collecting information, defined by increasing sequence of sigma-algebras (filtration), is illustrated by simple examples.
    Unavailable for downloading.

  5. Novosyolov A.A. Default probability, Risk management in credit organization, 3 (2013), 110-112. (in Russian)
    Abstract
    Calculation of default probability is illustrated for simple models like CreditMetrics; a method of recalculating for different time intervals is also presented.
    Unavailable for downloading.

  6. Novosyolov A.A. Building logit and probit models, Risk management in credit organization, 4 (2013), 14-25. (in Russian)
    Abstract
    The paper describes a number of standard techniques of building logit and probit models for classification of prospective borrowers. Analysis of some pitfalls is given. Comments on selecting essential factors are provided.
    Unavailable for downloading.


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