1. Solojentsev E.D. Management of risk and efficiency in economics. Logic and probabilistic approach. SPb.: Publish house SPb. University, 2009, 270 p. (In Russian)
The book describes the logic and probabilistic (LP) approach for management of risk and efficiency in banking, economic and social systems
under statistical data, ensuring the adequacy, accuracy, robustness and transparency of risk assessment and analysis.
Systems are regarded as structurally complex with L-connections, random events and probabilities. We introduce finite sets of parameters in database. This operation provides to get a risk model as L-equations. We developed special software, methods of analysis and management of systems under criteria of risk and efficiency. We describe application for management of risk and efficiency for credits, security portfolio, management of store and system development. The book is intended for professionals in the area of risk management, students, post-graduate students and lecturers of economics and financial departments of universities.
2. Solojentsev E.D. Scenario Logic and Probabilistic Management of Risk in Business and Engineering. Springer: Second edition, 2008, 500 p.
We consider the methodological and theoretical bases of the scenario logical and probabilistic (LP) risk management at stages of design,
testing and management of economic, banking and engineering systems with groups of incompatible events (GIE).
We describe following risk LP-models with GIE and their applications: credit risks, security portfolio, efficiency and quality, management of companies, bribes, and bring the large number of new tasks of estimation, analysis and management of risks. In these applications risk LP-models demonstrate almost twice more accuracy, seven times more robustness and absolute transparency in comparison with other models of risks.
The special logical Software for the LP-estimation, analysis and management of risks are described too.
The book is intended for experts in the area of risk management in business, technical, economic and organizational systems at stages of designing, testing, debugging and operation. It will also be useful to students, post-graduate students and lecturers in economical, financial and technical universities.
3. Solojentsev E.D., Stepanova N.V., Karasev V.V. Transparency of methods for assessment of credit risks and ratings. Saint Petersburg.: St. Petersbyrg University Press, 2005. - 197 pages. (In Russian)
The problem of transparency of methods for credit risk estimation of natural and juridical persons is formulated and solution, based on logical and probabilistic (LP) approach, is suggested. We study Basel II Regulations about minimum capital requirements and describe difficulties of their implementation due to the absence of effective transparent methodologies for estimation of credit risks. The LP-theory of credit risk with groups of incompatible events is stated. We demonstrate advantages of the LP-theory of risk in transparency, accuracy and robustness. LP-theory (LP-VaR) of the portfolio, using arbitrary distributions of dividend yields and providing transparency of analysis and risk forecasting, is stated. We conclude that Russian banks have to found their own rating agency on the basis of impartial and well-grounded scientific LP-theory of credit risk. This book is intended for specialists in the area of risk management in banking and business, for students and postgraduates of financial universities.
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