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Journal of Automation and Information Sciences
SJR: 0.238 SNIP: 0.464 CiteScore™: 0.27

ISSN Imprimer: 1064-2315
ISSN En ligne: 2163-9337

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Journal of Automation and Information Sciences

DOI: 10.1615/JAutomatInfScien.v44.i2.60
pages 65-80

Bank Capitalization Theorem

Nikolay S. Gonchar
N.N. Bogolyubov Institute of Theoretical Physics of National Academy of Sciences of Ukraine, Kiev, Ukraine

RÉSUMÉ

Model of bank operation is proposed. Integral equation of banking failure is obtained and its solution is constructed. Depending on parameters of investment medium this solution is investigated. We specify the value of bank capital, for which probability of banking failure during certain period of bank activity is estimated only by probability of unavoidable risk, which is defined as probability of potential of loss of a part of invested capital in the case of disadvantageous economic situation. The value of this capital is called as volume of bank capitalization.

RÉFÉRENCES

  1. Cramer H., On the mathematical theory of risk.

  2. Lundberg F., Some supplementary researches on the collective risk theory.

  3. Altman E., Financial ratios, discriminant analysis and the prediction of corporate bankruptcy.

  4. Merton R., On the pricing of corporate debt: the risk structure of interest rates.

  5. Duffie D., Pan J., An overview of value at risk.

  6. Artzner P., Delbaen R., Eber J.M., Heath D., Coherent measures of risk.

  7. Gonchar N.S., Mathematical foundations of information economics.


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