Sibirskii Zhurnal Industrial'noi Matematiki
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Sib. Zh. Ind. Mat.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Sibirskii Zhurnal Industrial'noi Matematiki, 2011, Volume 14, Number 2, Pages 45–54 (Mi sjim665)  
A credit risk estimate for long-term financial flows basing on statistical modeling

S. S. Artem'evab, Yu. I. Ashchepkovab, M. A. Yakunina

a Institute of Computational Mathematics and Mathematical Geophysics SB RAS, Novosibirsk, RUSSIA
b Novosibirsk State University, Novosibirsk, RUSSIA
Full-text PDF (427 kB)
References:
PDF
HTML
Abstract: We consider a mathematical model of long-term financial flows as the sum of a random number of random variables. For the particular case of flows in retirement funds we obtain distributions of gains and losses at a given moment in the distant future. We present the results of simulations using the statistical modeling of financial flows. We describe a program for estimating the credit risk of a retirement fund for various development scenarios of the world and regional economies.
Keywords: payment flow, sum of random variables, probability density, statistical modeling.
Received: 20.08.2010
Revised: 06.12.2010
Bibliographic databases:
Document Type: Article
UDC: 519.24+519.86
Language: Russian
Citation: S. S. Artem'ev, Yu. I. Ashchepkova, M. A. Yakunin, “A credit risk estimate for long-term financial flows basing on statistical modeling”, Sib. Zh. Ind. Mat., 14:2 (2011), 45–54
Citation in format AMSBIB
\Bibitem{ArtAshYak11}
\by S.~S.~Artem'ev, Yu.~I.~Ashchepkova, M.~A.~Yakunin
\paper A~credit risk estimate for long-term financial flows basing on statistical modeling
\jour Sib. Zh. Ind. Mat.
\yr 2011
\vol 14
\issue 2
\pages 45--54
\mathnet{http://mi.mathnet.ru/sjim665}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2962153}
Linking options:
  • https://www.mathnet.ru/eng/sjim665
  • https://www.mathnet.ru/eng/sjim/v14/i2/p45
    • Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Сибирский журнал индустриальной математики
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024