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Sibirskii Zhurnal Vychislitel'noi Matematiki, 2006, Volume 9, Number 4, Pages 369–378 (Mi sjvm128)  
Forecasting the bank resources dynamics by Monte Carlo method

A. V. Fedotov

Novosibirsk State University
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Abstract: Bank liquidity is predicted on the basis of mathematical model of bank account by Monte Carlo method. Various statistical characteristics of bank profit and risk are calculated.
Key words: bank account dynamics model, Monte Carlo, liquidity risk forecast, statistical analysis.
Received: 30.11.2005
UDC: 519.24, 519.86
Language: Russian
Citation: A. V. Fedotov, “Forecasting the bank resources dynamics by Monte Carlo method”, Sib. Zh. Vychisl. Mat., 9:4 (2006), 369–378
Citation in format AMSBIB
\Bibitem{Fed06}
\by A.~V.~Fedotov
\paper Forecasting the bank resources dynamics by Monte Carlo method
\jour Sib. Zh. Vychisl. Mat.
\yr 2006
\vol 9
\issue 4
\pages 369--378
\mathnet{http://mi.mathnet.ru/sjvm128}
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