TIJORAT BANKLARINING AXBOROT TIZIMLARIDA FOYDALANISHNI CHEKLASH UCHUN TAKOMILLASHTIRILGAN DINAMIK RISK MODELINI TAHLIL QILISH
Abstract
Ushbu maqolada tijorat banklarining axborot tizimlarida foydalanishni cheklash jarayonini takomillashtirishga qaratilgan dinamik risk modeli taklif etilgan. Ushbu model mavjud statik yondashuvlardan farqli ravishda risklarning vaqt bo‘yicha o‘zgarishini, risklar o‘rtasidagi bog‘liqlikni, resurslarni optimallashtirish masalasini hamda ekstremal holatlar (tail risk)ni hisobga oladi. Taklif etilgan modelda Value at Risk (VaR) va Conditional Value at Risk (CVaR) usullaridan foydalanish orqali kam uchraydigan, ammo katta zarar keltiruvchi risklarni baholash imkoniyati yaratilgan. Shuningdek, risklarni boshqarish samaradorligini aniqlash uchun samaradorlik va rentabellik koeffitsientlari kiritilgan hamda tizimning qayta tiklanish (recovery) jarayonlari modellashtirilgan. Model tijorat banklari axborot tizimlarida 24/7 rejimida ishlash sharoitida risklarni aniqroq, moslashuvchan va ishonchli boshqarish imkonini beradi.
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