Conference publications

Abstracts

XXVI conference

The Industrial Enterprises Loss Inverse Distribution Estimation Formulas

Stikhova O.V.

Moscow State Technological University “STANKIN”, chair “ The Applied Mathematics Vadkovsky lane 1a, Moscow, 127055, Russia, +7(499)972-95-20

The significant CDS-index tranches according to distribution allow the credit risk insurance sellers to accept the potential losses by shares. Mass defaults are possible at any influencing default condition national measures, such, as industrial sector condition, the branch or regional factor [1]. The new estimation adequate model construction task complex for the companies of industrial sector is considered in this work [2]. The inverse distribution multiparametric model includes the various mixed distributions. The credit derivative and well-known synthetic indexes popularity has increased recently. The secondary market obligation tranche parts are evaluated. For an estimation task some copulas were used simultaneously to receive GH-copula cause of borders and tails independence. In contrast to models used before the given estimation formulas allow to estimate industrial derivative securities tranches [3]. A series of computing experiments on industrial companies modeling both with the generated samples and with the real data and the results verification are carried out.

References

1. Stikhova O.V. Industrial Companies Credit Derivatives Mathematical Tranches Risk Estimation Methods And Models. / The Third International Scientific Conference. The Modeling Of Nonlinear Processes And Systems (Mnps-2015). р46-47.

2. Schetinin E.Yu., Stikhova О.V. Mathematical Modeling Credit Derivatives Based on Copula Models. / The scientific - practical and information-analytical collection "the Financial analyst: problems and decisions", "the Publishing house the FINANCE and CREDIT", 7(49)-2011, pp.16-25.

3. Stikhova О.V. Credit Derivatives Behaviour Mathematical Modeling. /XLII the All-Russia conference on problems of mathematics, computer science, physics and chemistry. Working papers. Section "The Applied theory of probabilities and theoretical informatics.-М: Edited by PFUR, 2009, pp.123-124.

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