The System of Quantitative Risk Assessment Indicators and Their Economic Efficiency Assessment Methods

Abstract

The mathematical models of the company's optimal risk management mechanism ensure the maximum efficiency of the activity at the level of risk acceptable to the enterprise. Classification of risks into operational risk and interest risk is given. One of the possible options for determining the tasks of optimal planning of the enterprise is presented, which includes restrictions on the values of operational effect (OE) (OR). The OE (two) indicator is considered as a limitation, the normative value of which can be considered as a given value during planning. It is a multidimensional linear optimal planning problem with linear constraints. Its size is determined by the number of product types in the enterprise. We have formulated original economic-mathematical models of the distribution type, which are used to create the optimal production plan of the enterprise. In order to minimize the interest risk, we have used the duration indicator analysis method. Duration represents the elasticity of the price of a financial instrument (in this case the present value of a stream of payments) with respect to the interest rate (discount rate) and is therefore a measure of the risk of the price of the instrument changing when the interest rate changes.