Электронная библиотека
Модели интеграции кредитного и рыночного риска
Лапшин В.А.
Аннотация
Статья посвящена теме, особенно актуальной в последнее время, — совместной оценке кредитных и рыночных рисков. К сожалению, полноценное решение этого вопроса затруднено целым рядом обстоятельств, отдельным из которых и посвящена настоящая работа. Автор освещает проблемы, которые предстоит решить при интегрированном моделировании кредитного и рыночного рисков, и предлагает общую схему такого моделирования.
Содержание
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Введение; | ||
Классификация способов интеграции рыночного и кредитного рисков; | ||
Использование рыночной информации для более точной оценки кредитного риска; | ||
Использование информации о кредитоспособности эмитента для более точной оценки рыночного риска; | ||
Использование интегрированной модели для совместного моделирования рыночной обстановки и кредитного качества заемщиков; | ||
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Заключение; |
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Лапшин Виктор Александровичк. ф.-м. н.
доцент
Доцент НИУ ВШЭ. г. Москва