Kaminsky A. Economic and Mathematical Modeling of Financial Risks.

The theoretical and methodological positions of economic and mathematical modeling of financial risks are elaborated in the thesis, tools of their analysis, measuring and modeling are developed, and the numbers of models of optimization of risk are built. The role of measuring and rating estimation within framework of financial risks modeling is presented. The different conceptual approaches for risk measuring are investigated and some new measures of risk are offered. The logic and tools of stochastic modeling of financial risks are determined. The asymmetry and extreme losses are modeled within frameworks of different approaches for risk measuring. The methods of calculation of the "economic capital" size for financial institutes are developed. Rating model of financial risks logically applicable is investigated and expert approach to the rating evaluation is presented. Fuzzy-set approach for financial risks modeling with special aggregation of membership functions based on copula is used. The system of ratings models of liquidity of portfolio equities is created grounds exclusively on "distance" information.