Grachev I.D.State Duma of Federal Assembly of Russian Federation, Moscow, Russian Federation idg19@mail.ru
Importance Conventional risk assessment relies upon the hypothesis of independent agents and proves ineffective during crises, when assessments and agents' activities correlate very much. Objectives The article addresses the issue of effective risk assessment in the credit system, notwithstanding the extent of agents' correlation so to outline reasonable and effective crisis management algorithms. Methods The research is based on the probabilistic market model, which regards the market as a statistical group of somewhat unreasonable agents and has a certain methods for assessing market values, which interact with the credit system in the correlated manner. Inaccurate market estimates cause resources are unevenly distributed throughout the system and result in proportionate errors in estimates of market value. Results I analyzed contemporary trends reflecting how specialists assess the real correlation of evaluation of activities agents perform when interacting with the credit system. The article demonstrates how efficiently they approximate small correlations. I formulated practicable and adaptable risk assessment approaches for correlated agents of credit systems, using methods of quadratic estimation to expand correlation matrices into standard ones. Conclusions and Relevance The existing methods for assessing risks of credit systems proved to be ineffective during the last crises since highly correlated behavior of agents were underestimated. The article presents the results of developing methods and algorithms for risk assessment, which are suitable for any financial and credit crises. The research brings the algorithms to the level of acceptable quasi-independent agents with estimated effective errors, using the Wishart distribution and quadratic estimation.
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