Conference publications

The Modeling of Extreme Losses of a Non-Homogeneous Credit Portfolio

Stikhova O.V.

Russia, Moscow

"Математика. Компьютер. Образование". Cб. трудов XIV международной конференции. Под общей редакцией Г.Ю. Ризниченко Ижевск: Научно-издательский центр "Регулярная и хаотическая динамика", 2007. Vol. 1, 298pp. Pp. 221-229.

In clause the new model of a credit portofolio allowing is offered to estimate the extreme losses at the fixed size of probabilityof loss on each of valuable papers of a portofolio. The computing experiments on verification of model on the price given American corporate bonds are carried out and the comparative analysis of the received results with other known models is executed.

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