Features of the Value-at-risk Methodology for Evaluation of Business Risks at Nonlinear Dynamics in Economic Development

摘要：

　　The novel method for business risks evaluation based on the Value-at-Risk (VaR) methodology is proposed.This method can be applicable for stable markets analysis and for description of nonlinear dynamics in economics including crisis-related economical changes.This method is driven by computer simulation of the business evolution in according with synergetic model of generalized Lorenz system.It allows VaR estimation taking into account the asymmetry and fat tail risk curve in the real time without using historical data.We used proposed method to evaluate business risks to predict possible losses as well as potential gain in the enterprise revenue.

关键词： Value-at-Risk methodology business risks markets analysis synergetic model Lorenz system

作者: Danchuk M Kravchuk A Danchuk V

作者单位: National Transport University, 1 Suvorov Street, Kyiv, 01010 Ukraine

会议类型: 国际会议

会议名称: 2013 International Conference on Information, Business and Education Technology (2013信息、商业与教育技术国际会议(ICIBET 2013))

会议地点: 北京

会议语种:英文

页码: 288-291

在线出版日期: 2013-03-14（万方平台首次上网日期，不代表论文的发表时间）