MATHEMATICAL METHODS IN FINANCES AND ECONOMICS

SOFTWARE FOR LOGICAL AND PROBABILISTIC ASSESSMENT OF CREDIT RISKS


 

In the first time the new techniques for quantitative assessment of risk in finances and economics on based of logical and probabilistic method (LPM) are offered. The risk models in these area have logical connection OR, AND, NOT and groups of incompatible events. LP-techniques have almost twice more accuracy in recognition of good and bad credits than used techniques based on LDA, QDA, CART, NN methods.

The demonstrated software based on LP - technique is developed. It's demonstrating on the set of 1000 credits of individuals how to decide the following tasks:

1) to calculate a risk of the credit (probability of default), to classify credit on good and bad, to set acceptable risk (cut off value) and average bank risk, to determine contributions of the credit's characteristics in risk;

2) to execute the analysis of bank activity, having calculated average risks and contributions of characteristics on all bank credits and having established errors, which bank makes more often; to nominate well-founded acceptable risk and the price for risk;

3) to execute identification (training) of risk model (to calculate the probabilities of initiating events) on bank statistical data about credit issues.

 

The demonstrated software consists of the packed files RISK.ZIP, including files:

* readme_1.txt is the description how the software is working;

* readme_2.txt is the description of the techniques of risk assessment and training.

After unpacking of ZIP-file you should run the executed file RISK.EXE , which works under management of MS DOS. The software works in dialogue with an user.

The advanced user software will work under Windows.

We ask for you to send remarks about the demonstrated software to E_mail address: esokar@gmail.com

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