The development of information technology for modeling and evaluating the financial and economic risks with accounting of the uncertainties of different nature (based on Bayesian models)

Результати моделювання в середовищі  OpenBUGS

A new technique of the data mining was proposed that combines the causal networks and methods for risk assessment in the form of stochastic volatility models. The approach includes the following stages: (1) definition and classification process critical elements under study, in order to identify and characterize risk factors; (2) constructing causal model in the form of believe Bayesian networks; (3) create a set of candidates scenarios process; (4) modeling and evaluating the risks of the critical factors based on Bayesian stochastic volatility models using methods of optimal filtering.