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On the mathematical model of bank processes for credit organizations' operational risk management

Keywords:

Nguen Kuang Thy’ong – Dr. Sc. (Eng.), Lecturer, State University of Management (Moscow)
E-mail: tikhonovrus@gmail.com
Do Thi Thanh Van – Post-graduate Student, Moscow Institute of Physics and Technology (State University)
E-mail: vannhi45@gmail.com


Introducing the problems of constructing the most better system for measurement, prognosis and minimization of an operational risk arising in the working process of credit organizations the basic approaches to evaluating bank's operational risk in bank's processes modeling: Basic Indicator Approach (BIA), The Standardized Approach (TSA), Alternative Standardized Approach (ASA) and Advanced Measurement Approach (AMA) to evaluating operational risks are presented.
The bank work in a sufficient big time interval is considered. At the same, amount of money, securities purchased by the bank and the securities placed by the bank changed over time and placing the bank's own securities for borrowing, also runs with a limited speed. Further, the rate of spending money on the purchase of securities and the rate of receipt of money from the placement of securities of the bank is presented.
For credit-deposit policy of the bank, as determined in the model management, and policy of dividend payments, the mathematical model of bank's processes for operational risk management by a maximal functional in the integral form of utility dividend payments function is presented.
As a result, a formulation of the optimal control problem in continuous time is obtained.

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