Stochastic Methods for Dynamic Risk Management

在当今激烈的竞争压力、动荡的经济状况、不断增加的破产以及不断增加的消费者和商业债务水平的环境下，一个组织是否有能力有效地监控和管理其信用风险，可能意味着成功和生存的区别。改进动态风险管理系统也是新的监管资本充足率提案巴塞尔II的重要组成部分，该提案主张对信贷组合和信用风险的内部模型提出对风险敏感的资本金要求。该项目的目标是开发用于管理信用风险的新的随机方法，并将该项目中开发的理论创新转化为实际实施。

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.