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Description
  • 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.
  • 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. (en)
  • Měření, výpočet a analýza kreditního rizika jsou klíčovými úkoly finančního rozhodování. Tyto modely je třeba řešit za rizika (jako stochastické). Hlavním problémem aplikace vhodných metod v rozvíjejících se a tranzitivních ekonomikách je neúplnost přechodové matice pravděpodobností. Jelikož je k dispozici pouze krátká časová řada dat je možné specifikovat vstupní data pouze vágně. V článku je prezentován hybridní model využívající fuzzy-simulace Monte Carlo. Rovněž je obsažen ilustrující příklad výpočtu kreditního rizika portfolia. (cs)
Title
  • Credit Risk under soft condition (fuzzy-stochastic aproach)
  • Credit Risk under soft condition (fuzzy-stochastic aproach) (en)
  • Kreditní riziko za měkkých podmínek (fuzzy stochastický přístup) (cs)
skos:prefLabel
  • Credit Risk under soft condition (fuzzy-stochastic aproach)
  • Credit Risk under soft condition (fuzzy-stochastic aproach) (en)
  • Kreditní riziko za měkkých podmínek (fuzzy stochastický přístup) (cs)
skos:notation
  • RIV/61989100:27510/04:00009837!RIV/2005/GA0/275105/N
http://linked.open.../vavai/riv/strany
  • 357-364
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA402/02/1046), Z(MSM 275100015)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 558972
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/04:00009837
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • 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 (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [6DAF1ED3AB29]
http://linked.open...v/mistoKonaniAkce
  • Brno
http://linked.open...i/riv/mistoVydani
  • Brno
http://linked.open...i/riv/nazevZdroje
  • Mathematical Methods in Economics
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Zmeškal, Zdeněk
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
http://linked.open...n/vavai/riv/zamer
number of pages
http://purl.org/ne...btex#hasPublisher
  • Masarykova univerzita
https://schema.org/isbn
  • 80-210-3496-3
http://localhost/t...ganizacniJednotka
  • 27510
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