Modern risk systems
Papers published in 2014

Companion sites: Russian version


  1. Novosyolov A.A. Conditional distribution in stress testing, Risk management in credit organization, 1 (2014), 107-112. (in Russian)
    Abstract
    In the paper stress testing methods of factor model of financial market are described; the methods are based on building conditional distributions. Examples are constructed in which conditional correlation is greater and less than that of the unconditional one. A paradoxical example of changing correlation sign under simultaneous shock of several factors is considered.
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  2. Novosyolov A.A.Reverse stress testing, Risk management in credit organization, 2 (2014), 106-112. (in Russian)
    Abstract
    Methods of building scenarios for stress testing of a factor model of financial market, that is, methods of reverse stress testing, are considered in the paper. Technology of building scenarios are described, and examples are considered. Recommendation for applying the method in practice are also provided.
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  3. Novosyolov A.A. Stress testing of financial portfolio, Financial risk management, 2 (2014), 128-138. (in Russian)
    Abstract
    In the paper methodology of stress testing of a financial portfolio is condsidered as a method of portfolio risk management. The author describes general principles of stress testing, depicts common approaches, and alalyzes a method of stress testing based on using conditional distribution of returns of risk factors. In the paper there are examples of using the method in simple risk models, mentioned some disadvantages of the method, suggested direction of development of the method.
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  4. Novosyolov A.A. Stress-testing of risk models: some pitfalls, Proceedings of the XIII International conference on financial and actuarial mathematics and eventology of multidimensional statistics, Krasnoyarsk, SFU, 2014, 128-130. (in Russian)
    Abstract
    The paper describes a method of stress testing of risk models, and a problem one can encounter when applying the method. Approaches to dealing with the problem are discussed.
    Unavailable for downloading.

  5. Novosyolov A.A. A generalization of Frechet bounds concept, Proceedings of the XIII International conference on financial and actuarial mathematics and eventology of multidimensional statistics, Krasnoyarsk, SFU, 2014, 131-134.
    Abstract
    A problem of Frechet bounds calculation for an arbitrary set theoretic operation is formulated and studied in the current paper. We introduce the concept of dual operations, study the relations between bounds for dual operations, define the valence (covalence) of operations, and calculate Frechet bounds for operations on two-element sets.
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  6. Novosyolov A.A. Measurability of random set of events, Proceedings of the XIII International conference on financial and actuarial mathematics and eventology of multidimensional statistics, Krasnoyarsk, SFU, 2014, 135-136.
    Abstract
    The paper is devoted to establishing unconditional measurability of a random set of events, which follows directly from its structure without any additional requirements.
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