THE LOGICAL AND PROBABILISTIC RISK MODELS IN BANKING, BUSINESS AND QUALITY
Solojentsev E.D., Karasev V.V., Solojentsev V.E.
St-Petersburg, "Nauka", 1999
In this book the general risk task is formulated. It includes the numerical risk evaluation as probability of failure, classification by risk value, analysis of object's risk and risk of set of objects, the assignment of price for risk and risk management.
The theory of logical and probabilistic (LP) simulation, not known by mathematician and economists, were used and developed. The logical addition of initiating events instead of traditional arithmetical addition of certain values is applied. The events can have logical connections AND, OR, NOT.
Risk object is described by large number of signs, every sign has up to 10 gradations. Signs-events are considered as independent, gradations-events forms groups of uncompatible events. Events has clear probabilistic sense.
LP risk models for banks, business, quality and insurance are constructed as associative, on basis of sense, and they are hypotheses of the failure scenario. Failure takes place if there is one, or two, -, or there are all initiating events.
The methods of identification (training) of P risk model by statistical data are offered. As result, the probabilities of signs-events and gradations-events are determined. The method of structural identification or improvement of L risk model for increasing of its precision is offered.
LP risk model has shown twice more accuracy and seven times more stability in classification of credits on "good" and "bad" than known western techniques and software, based on neural networks and methods of trait recognition.
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