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Regular version of the site
Of all publications in the section: 13
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Article
Субботин А. В., Буянова Е. А. Управление риском. 2008. № 3. С. 51-59.
Added: Oct 9, 2012
Article
Субботин А. В., Буянова Е. А. Управление риском. 2008. № 4. С. 23-40.
Added: Oct 9, 2012
Article
Науменко В. В., Смирнов С. Н., Костов Т. В. Управление риском. 2009. № 3. С. 66-71.
Added: Jul 3, 2009
Article
Лапшин В. А., Смирнов С. Н. Управление риском. 2012. Т. 61-63. № 1-3. С. 14-44.

There is a method of redusing to one estimate which is obtained by different methods of evaluations of the risk-neutral and real probabilities of default. There are two «engineering» methods of translation of risk-neutral probabilities in real with the use of the constraint equations. On the one hand calculations are carried out on real data on the financial statements of Russian banks and statistics of economic defaults but on the other hand calculations are carried out on pricing on ruble bonds for which the banks are issuers.

Added: Jun 1, 2012
Article
Смирнов С. Н., Тарасова П. В. Управление риском. 2011. № 3. С. 15-24.

Annotation: Problem of assessing the liquidity risk premium for bonds is actual in connection with recent crisis. In article is analyzing possible approaches for estimation of liquidity risk premium for bonds used information of market credit derivative finance instruments such as quotes of Credit Default Swaps (CDS). Critical analysis of models of credit risk necessary for description liquidity of instruments also is made. Recommendations for using one or another approach on practice and for Russian conditions too were also given. A new alternative approach for assessing the liquidity risk premium for bonds is suggesting.

Added: Nov 30, 2012
Article
Андреев Н. А., Лапшин В. А., Науменко В. В. и др. Управление риском. 2011. Т. 58. № 2. С. 35-53.
Added: Oct 24, 2012
Article
Голубин А. Ю., Апарина М. Н. Управление риском. 2015. № 1. С. 52-57.
The article provides analytical solutions to the following problems: minimization of initial insurer’s capital under a given ruin probability and maximization of expected utility of the final insurer’s capital. In both cases the insurer can varies the premium size under a prescribed demand function, that is assumed to be either linear or hyperbolic type. The results are illustrated by an example for the case automobile insurance CASCO, based on real data.
Added: Apr 7, 2015
Article
Тарасова П. В. Управление риском. 2012. № 4.

Problem of assessing the credit risk, including the simultaneous analysis of the bond and credit default swap markets is relevant especially in connection with the recent crisis. Informational efficiency of two markets is different, so it is quite important to determine which market leads the other, and which only adjusts to the changes. This article analyzes the existing models to detect the market going ahead in terms of price discovery. The recommendations regarding the applicability of models for credit risk estimation are suggesting.

Added: Nov 9, 2012
Article
Курбангалеев М. З., Смирнов С. Н. Управление риском. 2012. № 4. С. 40-46.

We discuss specific requirements to margining systems designed for central clearing for the credit default swap market. In particular, we analyze available market data eligible to be used in risk models for margining systems.

Added: Nov 7, 2012
Article
Лесных В. В., Алексеева В. А., Литвин Ю. В. Управление риском. 2015. № 1 (73). С. 14-25.

This paper is devoted to the analysis of organizational risks. Based on the analyzed approaches to organizational risks definitions and classifications, own definition and classification have been created. Besides, the review of qualitative and quantitative methods of risk assessment has been done and has shown that the majority of existing methods do not correspond to practical necessities and require further development.

Added: Dec 14, 2016
Article
Макарова Е. А. Управление риском. 2012. № 3. С. 53-63.
Added: Nov 6, 2012