Logical and Probabilistic Models of Banking and Financial Risks with Groups of Incompatible Events

17 Pages Posted: 10 May 2001

See all articles by E.D. Solojentsev

E.D. Solojentsev

Russian Academy of Sciences (RAS) - Intelligent Integrated Systems Laboratory

Date Written: undated

Abstract

We are considering the structural complex systems where the risk is usual and mass phenomenon and there is statistics in enough amount about risk objects. The examples of such systems take place in banks, business, insurance, quality, monitoring systems. The tasks of classification of objects on "good" and "bad" are solved by means of discriminant analysis methods (DA), neural networks (NN) and artificial intelligence (AI). There is a immense number of publications on these methods of classification. The task of classification on "good" and "bad" objects by DA methods is in construction of simple approximating mathematical model. Usually the flatness or convex surface are such simple models in n-dimensional space of classified signs which are devoting the objects on two classes. The relative average error in classification Em can achieve 0.15-0.3 (of general number of objects). The algorithm of construction of strict separating plane is unknown and cannot be realized in practice.

Suggested Citation

Solozhentsev, Evgueni Dmitrievich, Logical and Probabilistic Models of Banking and Financial Risks with Groups of Incompatible Events (undated). Available at SSRN: https://ssrn.com/abstract=269551 or http://dx.doi.org/10.2139/ssrn.269551

Evgueni Dmitrievich Solozhentsev (Contact Author)

Russian Academy of Sciences (RAS) - Intelligent Integrated Systems Laboratory ( email )

V.O., Bol'shoi pr.,61
Saint-Petersburg, 199178
Russia
7(812) 321 47 66 (Phone)
7(812) 321 47 66 (Fax)

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