The stochastic mathematical model of the credit risk process is examined. It is assumed that in unstable economic … condition of default may be a cause for credit risk. The fund value of the crediting is considered as some random variable that … random variables are independent the expected risk of crediting for a single loan is found. On base of the expected risk …

The aim of this work is to introduce an innovative methodology for performing risk attribution within a multifactor … risk framework. We applied this analysis to the assessment of systemic, climate, and geopolitical risks relative to a … the combined risk to each factor and to the effect of their interaction by employing our proposed frequency-based approach …