Considering correlations between entries of credit portfolio is an important objective when estimating credit risk. This paper aims to construct a multivariate model of credit losses examining a portfolio composed of loans to a set of kinds of business. The paper also introduces the method of...

In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high-dimensional vector after standardizing marginals. Hence it is of importance to model and estimate tail copulas. Even for moderate dimension, nonparametrically estimating a tail...

Microsimulations make use of quantitative methods to analyze complex phenomena in populations. They allow modeling socioeconomic systems based on micro-level units such as individuals, households, or institutional entities. However, conducting a microsimulation study can be challenging. It often...

Microsimulations make use of quantitative methods to analyze complex phenomena in populations. They allow modeling socioeconomic systems based on micro-level units such as individuals, households, or institutional entities. However, conducting a microsimulation study can be challenging. It often...

The collapse of former communist regime in Central and Eastern Europe opened the transition period from centrally planned to market oriented economies. Thus, the exploration of economic systems in the special situation of transition has become an interesting research topic. The exposition plan...

В статье рассмотрены проблемы взаимовлияния социальных и экономических факторов на жизненный цикл инновационного проекта, определены основания возникновения...

Целью статьи является совершенствование методологии исследования финансовых результатов путем внедрения в отечественную практику применения современного...

Since rural microfinance is a credit which grants loans without collateral and guarantees to farmers, it is considerably important to evaluate and control the household credit risk. Through establishing the evaluation index system and then using catastrophe progression theory, three common types...

Целью статьи является анализ элементарных потенциальных функций теории катастроф и формирование механизма построения модели развития предприятия, который...