Suchergebnisse

The article reviews the Bank's credit risk modeling issues. The substance of the article analyzes the credit risk structure and methods for measuring its components. Credit risk is measured as a loss, that is the function of several variables. The amount of open credit risk position in case of default, expected proba-bility of credit default and recovery ratio after the default are the main variables of the given function presented in the arti-cle. These variables are reviewed as random values and meth-ods are given for its evaluation and integration as one indica-tor.The article also reviews the tasks of forming the bank's internal credit ratings and issues related to the use of these ratings in credit risk evaluation model.

The report reviews currency exchange rate forecast issues. For this reason, corresponding time series have been studied based on which features of this type of series have been determined. Taking into account nature of these features, several models have been processed for currency exchange rate forecasting. Comparing the results of the models, the best model is selected and used for estimate currency exchange rate's future movements.