Forecasting the bank resources dynamics by Monte Carlo method

A. V. Fedotov

Novosibirsk State University

Abstract: Bank liquidity is predicted on the basis of mathematical model of bank account by Monte Carlo method. Various statistical characteristics of bank profit and risk are calculated.

Key words: bank account dynamics model, Monte Carlo, liquidity risk forecast, statistical analysis.

UDC: 519.24, 519.86

Received: 30.11.2005