HSE Publishing House

Mathematical modeling of various aspects of activity is a modern trend in the development of applied computer science, including in the field of economics. Models in banking and the financial sector occupy an important place among the current problems. They play an important role in making managerial and investment decisions, in risk management, and in regulating these areas of activity. The methodology and practice of forming such models is the subject of this monograph. The book is based on ten years of research by the author and his colleagues, as well as on the experience of teaching courses on the subject of the book at the Higher School of Economics and a number of leading universities in Russia, as well as the practical experience of the authors. The book examines the place and tasks of finance and banks in the global and Russian financial systems, problems and tasks of banking management, credit risk management models, including for regulating banking activities, features of financial regulation based on credit risk models, credit rating models and probability of default, the construction and use of internal ratings, methods and models of assessment and operational and market banking risk management, as well as issues of systemic risk modeling and stress testing, and other issues related to the chosen topic. 
The monograph is aimed at a wide range of specialists, postgraduates and students and is designed to find practical application in interested financial institutions.