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Some approaches to financial risk assessment

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Abstract

A credit risk management problem for insurance investment companies is considered. An approach based on regression analysis with the use of CVaR estimate is proposed.

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Authors and Affiliations

  1. V. M. Glushkov Institute of Cybernetics, National Academy of Sciences of Ukraine, Kyiv, Ukraine

    L. B. Vovk, A. P. Knopov & T. V. Pepeljaeva

Authors
  1. L. B. Vovk
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  2. A. P. Knopov
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  3. T. V. Pepeljaeva
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Corresponding author

Correspondence to L. B. Vovk.

Additional information

Translated from Kibernetika i Sistemnyi Analiz, No. 3, pp. 169–174, May–June 2010.

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Vovk, L.B., Knopov, A.P. & Pepeljaeva, T.V. Some approaches to financial risk assessment. Cybern Syst Anal 46, 500–505 (2010). https://doi.org/10.1007/s10559-010-9225-y

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