Stochastic Methods for Dynamic Risk Management

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In today's environment of intense competitive pressures, volatile economic conditions, rising bankruptcies, and increasing levels of consumer and commercial debt, an organization's ability to effectively monitor and manage its credit risk can mean the difference between success and survival. The improvement of dynamic risk management systems is also an essential part of the new regulatory Capital Adequacy Proposal Basel II in which risk-sensitive capital requirements for credit portfolios and internal models of credit risk are advocated. The goal of the project is to develop novel stochastic methods for managing of credit risk and to bring theoretical innovations developed within the project to practical implementations.