Multi-dimensional risk monitoring in economics (based on the reduction in socio-economic development)
Abstract
Subject. Control and analysis of the country’s socio-economic security is one of the crucial problems. It requires the development and improvement of adequate risk analysis models given the economy’s characteristics. These include the existence of several risk factors that can be interrelated and occur simultaneously, non-stationarity of economic processes, small data samples.
Purposes. To propose and, on the synthetic and real data, test a multi-dimensional risk model, that fulfils the fundamental specifics of economic processes.
Methodology. To achieve these goals, we used such scientific methods as analysis, synthesis, systemic approach in economics, risk theory and mathematical modeling of stochastic systems. The basis of the research is the review of the relevant scientific literature in the fields of systems analysis, risk theory, mathematical modelling, mathematical economics and multivariate statistical methods.
Results. We proposed the model of multi-dimensional risk that is focused on the specifics of economic processes and based on the concept of viewing the studied economic system or phenomenon as multi-dimensional non-stationary processes that are considered as Gaussian random vectors at each moment of time.
Conclusions. Approbation of the proposed approach on the synthetic and real data has proved the possibility of its practical use for risk monitoring in economics.
Metrics
References
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