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Mathematic Models Applied in the Risk Management

Author

Listed:
  • Gabriela-Victoria ANGHELACHE

    (Academy of Economic Studies, Bucharest)

  • Viorel LEFTER

    (Academy of Economic Studies, Bucharest)

  • Andreea NEGRU (CIOBANU)

    (Academy of Economic Studies, Bucharest)

  • Lorand KRALIK

    (Academy of Economic Studies, Bucharest)

Abstract

The techniques of statistical analysis have been for long either unknown or achieved in an approximate manner. The coming out of the risk concept is identified with the coming into being of the probabilities theories (the mathematic theory of probabilities). For the analysis developed in this work, we shall see that the yields (the percentage or logarithmic modifications of the assets price) are considered in the risk management as being stochastic variables. The distribution of these yields is studied by both academicians and market operators. More distributions have been identified as being possible distributions starting with the normal distribution (or logo normal used by Black Scholes and Merton). There is no demonstration of the fact that the yields distribution is not to be found, which keeps on leaving place to further developments of more and more complex functions of distribution.

Suggested Citation

  • Gabriela-Victoria ANGHELACHE & Viorel LEFTER & Andreea NEGRU (CIOBANU) & Lorand KRALIK, 2012. "Mathematic Models Applied in the Risk Management," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 60(4), pages 15-19, November.
    • Handle: RePEc:rsr:supplm:v:60:y:2012:i:4:p:15-19
    as

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    References listed on IDEAS

    as
    1. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
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    More about this item

    Keywords

    risk analysis; mathematic models; capital market; value; yields;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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