model, statistics, system, conditions, logic, identification, criterion, probability, gradients, Monte-Carlo, algorithm, optimization, knowledge base. " />

2009 , VOLUME 09, NUMBER 4 ( JULE-AUGUST )

ISSN 2226-1494 (print), ISSN 2500-0373 (online)

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Nikiforov
Vladimir O.
D.Sc., Prof.

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IDENTIFICATION CRITERIA OF CREDIT RISK MODELS BY STATISTICAL DATA

D. Strokov, E. Solojentsev

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Abstract

Application analysis of Logical-Probabilistic (LP) risk models is considered, and importance of the identification

procedure of risk LP-models by statistical data is showed. Mathematical description of risk LP-models is given.

The identification method of risk LP-models is stated and different criteria of identification are proposed and

investigated. The recommendations by their applications are given.

Keywords: model, statistics, system, conditions, logic, identification, criterion, probability, gradients, Monte-Carlo, algorithm, optimization, knowledge base.

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