Research and development of methods of risk management

Bershad AV

Research and development of methods of risk management scenarios

Publication type: Diss. ... Kand.fiz. and Mathematics

Year: 2002

Format: PDF

Volume: 156 p.

Speciality: 05.13.18


Abstract:

The thesis is devoted to the development of new formal mathematical methods for the assessment and management of financial, operatsionny- of, environmental and other types of risks in the economic and social systems.

The proposed methodology of the scenario modeling can also be used in solving the problem of the complex economic assessments and research projects.

The problem of making effective administrative decisions in the conditions of the possibility of occurrence of adverse events leading to losses (financial risk), is one of the central places in the contemporary theory and practice of finance. Creation of mathematical methods of financial risk management (late 50's to early 90's. The last century) laid the theoretical foundation for the rapid growth of industry protection tools against financial losses on all types of stock markets - commodities, currencies, equities, bonds. These instruments are derived with respect to a traditional object called free trade - the underlying assets are specific securities, with its owner-investor the right to perform transactions - the sale of the underlying assets with fixed or determinable by special algorithms prices at fixed time intervals or . The mathematical theory of risk among these tools occupy a special place options. In recent years, options have been actively used not only in the exchange trade, but also in projects for the extraction of natural resources in the evaluation of enterprises industry "high technology". The fair value of derivative instruments based on an assessment of risk of the buyer and seller is the main subject of modern financial mathematics.