Credit Risk under soft condition (fuzzy-stochastic approach)

被引：0
|
作者：
Zmeskal, Zdenek [1 ]
机构：
[1] Tech Univ Ostrava, Fac Econ, VSB, CZ-70833 Ostrava, Czech Republic
来源：
PROCEEDINGS OF THE 22ND INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2004 | 2004年
关键词：
Decision support system; Finance; Fuzzy sets; Pricing; Stochastic processes; fuzzy Monte-Carlo procedure; Credit risk; CreditMetrics; Monte-Carlo simulation; Transformation probability matrices; fuzzy-random variable;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Credit risk measurement, calculation and analysis are a crucial problem in financial decision-making. These models are solved under risk (stochastic) assumptions. CreditMetrics methodology is based on transition probability matrix. There are mainly in small open and transition economies problem to compute the matrix. Input data is possible to introduce only vaguely because short-term data are at disposal. One of an approach is to apply a fuzzy-stochastic methodology. Thus, a combination of risk (stochastic) and uncertainty (fuzzy instruments) might be used. Fuzzy-stochastic model is presented, fuzzy Monte-Carlo procedure is applied and results are presented as fuzzy probability distribution function vaguely as a fuzzy set. Illustrative example of portfolio credit value is presented.
引用
收藏
页码：357 / 364
页数：8
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