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Abstracts

XIX conference

Bi-stable model of risk interest rate

Krivosheev O.I.

Bluher st. 18-30, Ufa, Russia

2 pp. (accepted)

Variables θ – an amount of dept per unit of productive capital, 1-θ – own capital, variable is slow, - risk, - normalized risk. - risky bank interest rate , where - risk less interest rate: for the sake of simplicity , and thus .

Parameters. - time of refinance of debt, - internal rate of return of capital, - internal rate of return of current capital, – depreciation rate, ω – ratio of current capital to the total capital, - ratio of long term capital to the total capital, - dimensionless rate of return. If - is an intensity of the Poisson flow of bankruptcy, than - is an average time before the bankruptcy, at the level of risk rate r=b, time of bankruptcy may be estimated as a time of achieving of boarder where (or simply ) , let us suppose that the velocity of dept changing or growth is constant , than, using we obtain a discrete mapping of interest into itself . Since risk is not negative we have . Risk interest rate should be bounded with , - the rate of return of current assets: . Equilibriums are the following - crisis, unstable & is the preferable one. They meet . There is no crisis equilibrium if , at plane σ=0 this means that , - see curved line in Fig 2. Lower equilibrium is the main one or have hire potential when we see or (this is solution for condition ). One may consider it as a boarder of financial stability of economy & single enterprise.



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