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Mathematic Models Applied in the Risk Management

Gabriela-Victoria Anghelache, Viorel Lefter, Andreea NEGRU (ciobanu) and Lorand Kralik
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Gabriela-Victoria Anghelache: Academy of Economic Studies, Bucharest
Viorel Lefter: Academy of Economic Studies, Bucharest
Andreea NEGRU (ciobanu): Academy of Economic Studies, Bucharest

Romanian Statistical Review Supplement, 2012, vol. 60, issue 4, 15-19

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.

Keywords: risk analysis; mathematic models; capital market; value; yields (search for similar items in EconPapers)
JEL-codes: G32 (search for similar items in EconPapers)
Date: 2012
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