Assessment and Analysis of Credit Risk with Using of Logical and Probabilistic Model

15 Pages Posted: 19 Jun 2002

See all articles by Vassilij Karassev

Vassilij Karassev

Russian Academy of Sciences (RAS) - Institute of Problems of Mechanical Engineering

Andrey Roukine

Russian Academy of Sciences (RAS) - Institute of Problems of Mechanical Engineering

E.D. Solojentsev

Russian Academy of Sciences (RAS) - Intelligent Integrated Systems Laboratory

Abstract

The present paper contains description of logic and probabilistic (LP) model of the credit risk and evidences of its high accuracy and stability based on using of groups of incompatible events (Bayes' formula) and the logically well organised probabilistic polynomial of risk. However the present paper pays basic attention to the following applied aspects of using credit risk LP-models, connected with acquisition of income: Evaluation of accuracy and stability of credit risk model, numerical evaluation of credit risk and set the price for the risk, choice of relation of incorrectly classified good and bad credits, risk analysis of a separate credit, bank credit activity analysis, choice of optimum variety of signs for credit description, choice of the grade number for each sign and intervals of values for grades. We state also an approach for development of dynamic risk LP-model and describe developed Software for evaluation and analysis of credit risk.

Keywords: credit risk, logic and probabilistic model, groups of incompatible events, Bayes' formula, identification, analysis, accuracy, stability, profit

Suggested Citation

Karassev, Vassilij and Roukine, Andrey and Solozhentsev, Evgueni Dmitrievich, Assessment and Analysis of Credit Risk with Using of Logical and Probabilistic Model. EFMA 2002 London Meetings. Available at SSRN: https://ssrn.com/abstract=314380 or http://dx.doi.org/10.2139/ssrn.314380

Vassilij Karassev (Contact Author)

Russian Academy of Sciences (RAS) - Institute of Problems of Mechanical Engineering ( email )

Bolshoi av., 61
Saint-Petersburg, 199178
Russia
7(812)321-47-66 (Phone)
7(812)321-47-71 (Fax)

Andrey Roukine

Russian Academy of Sciences (RAS) - Institute of Problems of Mechanical Engineering

Bolshoi av., 61
Saint-Petersburg, 199178
Russia

Evgueni Dmitrievich Solozhentsev

Russian Academy of Sciences (RAS) - Intelligent Integrated Systems Laboratory ( email )

V.O., Bol'shoi pr.,61
Saint-Petersburg, 199178
Russia
7(812) 321 47 66 (Phone)
7(812) 321 47 66 (Fax)

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