Features of the Value-at-risk Methodology for Evaluation of Business Risks at Nonlinear Dynamics in Economic Development

DOI

10.2991/icibet.2013.49How to use a DOI?

Abstract

The novel method for business risks evaluation based on the Value-at-Risk (VaR) methodology is proposed. This method can be applicable for stable mar-kets analysis and for description of non-linear dynamics in economics including crisis-related economical changes. This method is driven by computer simulation of the business evolution in according with synergetic model of generalized Lo-renz system.It allows VaR estimation taking into account the asymmetry and fat tail risk curve in the real time without using historical data. We used proposed method to evaluate business risks to pre-dict possible losses as well as potential gain in the enterprise revenue.

Copyright

© 2013, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - M. Danchuk
AU  - A. Kravchuk
AU  - V. Danchuk
PY  - 2013/03
DA  - 2013/03
TI  - Features of the Value-at-risk Methodology for Evaluation of Business Risks at Nonlinear Dynamics in Economic Development
BT  - Proceedings of the 2013 International Conference on Information, Business and Education Technology (ICIBET 2013)
PB  - Atlantis Press
SP  - 228
EP  - 231
SN  - 1951-6851
UR  - https://doi.org/10.2991/icibet.2013.49
DO  - 10.2991/icibet.2013.49
ID  - Danchuk2013/03
ER  -