Analytical credit risk estimation under soft conditions
Result description
The investment decision-making is a crucial problem of financial decision-making. There are two aspects, which are risk and vagueness. A combination of risk (stochastic) and uncertainty (fuzzy) instruments is applied in a process of calculating a default-adjusted expected bond cash-flow Fuzzy-stochastic models categorisation is described and particular model is proposed. Input data are in a form of fuzzy numbers and results (fuzzy expected bond cash-flow) are also determined vaguely as a fuzzy sets. Illustrative example is introduced.
Keywords
CASH-FLOWRATINGPAYOFF VECTORMARKOW´S TRANSFORMATION PROBABILITY MATRIXFUZZY SETFUZZY-RANDOM VARIABLEEXTENSION PRINCIPLEe-CUTFUZZY-STOCHASTIC METHODOLOGY
The result's identifiers
Result code in IS VaVaI
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Analytical credit risk estimation under soft conditions
Original language description
The investment decision-making is a crucial problem of financial decision-making. There are two aspects, which are risk and vagueness. A combination of risk (stochastic) and uncertainty (fuzzy) instruments is applied in a process of calculating a default-adjusted expected bond cash-flow Fuzzy-stochastic models categorisation is described and particular model is proposed. Input data are in a form of fuzzy numbers and results (fuzzy expected bond cash-flow) are also determined vaguely as a fuzzy sets. Illustrative example is introduced.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
GA402/02/1046: Application of the Fuzzy-Stochastic Approaches in Financial Decision-making
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2002
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Eunite 2002, European Symphosium on Intelligent Technologies, Hybrid Systems and their Implementation on Smart Adaptive Systems, Alfuberia
ISBN
3-89653-919-1
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
372-378
Publisher name
Verlag Mainz, Wissenschaftsverlag
Place of publication
Aachen
Event location
Alfuberia, Portugal
Event date
Sep 19, 2002
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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Basic information
Result type
D - Article in proceedings
CEP
AH - Economics
Year of implementation
2002