Features of the Value-at-risk Methodology for Evaluation of Business Risks at Nonlinear Dynamics in Economic Development

摘要

The novel method for business risks evaluation based on the Value-at-Risk (VaR) methodology is proposed.This method can be applicable for stable markets analysis and for description of nonlinear dynamics in economics including crisis-related economical changes.This method is driven by computer simulation of the business evolution in according with synergetic model of generalized Lorenz system.It allows VaR estimation taking into account the asymmetry and fat tail risk curve in the real time without using historical data.We used proposed method to evaluate business risks to predict possible losses as well as potential gain in the enterprise revenue.