RESEARCH ON RISK ANALYSIS METHODS USING MODELS OF DEFAULT PROBABILITY IN THE FINANCIAL INDUSTRY

Abstract

The article discusses the issues of methods for analyzing the probability of default (bankruptcy) of enterprises in the context of the financial industry. We propose approaches based on our own research to assess the probability of default. There are many models that help analyze credit risks, for example, the probability of default, migration risk and default on losses. Each of these models is vital for assessing credit risk, however, the most important model is default, i.e., used in this article. To solve this problem, a standard mathematical apparatus is used: linear regression, matrix theory and nonlinear programming