70866

Автор(ы): 

Автор(ов): 

5

Параметры публикации

Тип публикации: 

Статья в журнале/сборнике

Название: 

Stress testing of nonfinancial organizations: an analytical approach to solving the reverse problem

ISBN/ISSN: 

1819-3161

DOI: 

10.25728/cs.2021.6.2

Наименование источника: 

  • Control Sciences

Обозначение и номер тома: 

№6

Город: 

  • Москва

Издательство: 

  • ООО "Сенсидат-Плюс"

Год издания: 

2021

Страницы: 

13-24
Аннотация
This paper considers an approach to stress testing of nonfinancial organizations. It includes the problem statement and a methodology for solving the reverse problem. The mathematical model is based on open-source data (the financial statements of companies). The relevance of this approach is increasing due to different-nature crises (economic crisis, the COVID-19 pandemic, etc.). The resilience of companies (especially “backbone” ones) to shock situations is tested, and preventive management measures are developed. The direct problem statement involves determining the company’s financial model parameters that ensure a nonnegative level of cash balance in the forecast period. The reverse problem is to find the characteristics of the financial and economic state of the enterprise that correspond to different critical combinations of its financial result parameters. We develop an original stress-testing methodology that significantly reduces the labor intensity and computational complexity compared to stress-testing technologies for financial institutions. A new analytical model is used. The model results are illustrated by an example: stress testing of a backbone enterprise in the real economy sector, which was significantly affected by restrictive measures in the COVID-19 pandemic. Model calculations employ open data from the organization’s financial statements.

Библиографическая ссылка: 

Богомолов А.С., Дворяшина М.М., Дранко О.И., Кушников В.А., Резчиков А.Ф. Stress testing of nonfinancial organizations: an analytical approach to solving the reverse problem // Control Sciences. 2021. №6. С. 13-24.

Публикация имеет версию на другом языке или вышла в другом издании, например, в электронной (или онлайн) версии журнала: 

Да

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