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On the mathematical essence of the related borrowers concept.
Urazaeva Tat'yana Al'fredovna

PhD in Economics

Head of the Department of Information Systems in the economy, Volga State University of Technology

424032, Russia, respublika Marii El, g. Ioshkar-Ola, ul. Pavlenko, 60

bor1@mari-el.com
Другие публикации этого автора
 

 
Abstract. The object of study in the article is the credit, however it does not concern its economic essence regarding both the creditor, and the borrower. The key aspects of studу concern the mathematical foundations for modeling the  phenomenon of related borrowers. The author stars her research by analyzing economic maintenance of a phenomenon of being related, while directly giving strictly mathematical interpretation to the economic terms, which she employs. Further the author explicitly considers functional and stochastic aspects of coherence of borrowers, showing continuous connection among these aspects. The methodological basis of a research is formed with the set-theoretic and probability-theoretic approaches. Application-oriented aspects of the loan portfolio modeling are explained in terms of the algebraic theory of risk. The graphic illustration of the main results of operation is based on classical submissions of the Cartesian product of finite sets and on traditional (quasi) trees of classification. The key result of this  study is revealing of the complete mathematical list of possible options for the coherence of borrowers in the functional and probability-theoretic contexts. At the same time the article contains detailed descriptions of all possible relation options within the object field of study. This a  novel relation classification. Similar studies are not found among either Russian, or foreign studies so far. Another result of this study is a practical one, since some of the received ratios can be used in order to form efficient algorithms for the direct analysis of risk processes within the complicated systems.
Keywords: affiliate, a group of related entities, a group of related borrowers, credit, independent events, uncertainty, risk, conditional probability, holding, economic relation of the companies
DOI: 10.25136/2306-4196.2017.4.23669
Article was received: 25-07-2017

Review date: 31-07-2017

Publish date: 17-09-2017

This article written in Russian. You can find full text of article in Russian here.

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