Fedorov E. Information technology of risk forecasting in information management systems

Dissertation work is dedicated to development the information technology of risk forecasting in Information Management Systems (IMS). The method of analysis and synthesis of risk forecasting functional model in IMS is first developed. This method includes stages: stage of choice the most effective model of risk forecasting depending on statistical characteristics of the initial data, a prediction stage of risk significant changes and a stage of risk forecast correction depending on a forecast error, that allows to provide the unexceeding preselected level of losses set by a user. The model of significant changes of risk is improved. This model includes risk factors which result in occurrence of significant changes of a risk level. The method of currency risk forecasting Value-at-Risk is improved. This method based on a risk forecast correction depending on a forecast error. Taken further development the method of risk forecasting methods and models efficiency estimation. Scientific results, got in dissertation work, find practical application at risk forecasting in IMS of banks, financial and investment companies.