Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory

Arindam Chaudhuri, Soumya K. Ghosh (Autoren)

Buch | Softcover

XVI, 190 Seiten

2016 | Softcover reprint of the original 1st ed. 2016
Springer International Publishing (Verlag)
978-3-319-37418-5 (ISBN)

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This book offers a comprehensive guide to the modelling of operational risk using possibility theory. It provides a set of methods for measuring operational risks under a certain degree of vagueness and impreciseness, as encountered in real-life data. It shows how possibility theory and indeterminate uncertainty-encompassing degrees of belief can be applied in analysing the risk function, and describes the parametric g-and-h distribution associated with extreme value theory as an interesting candidate in this regard. The book offers a complete assessment of fuzzy methods for determining both value at risk (VaR) and subjective value at risk (SVaR), together with a stability estimation of VaR and SVaR. Based on the simulation studies and case studies reported on here, the possibilistic quantification of risk performs consistently better than the probabilistic model. Risk is evaluated by integrating two fuzzy techniques: the fuzzy analytic hierarchy process and the fuzzy extension of techniques for order preference by similarity to the ideal solution. Because of its specialized content, it is primarily intended for postgraduates and researchers with a basic knowledge of algebra and calculus, and can be used as reference guide for research-level courses on fuzzy sets, possibility theory and mathematical finance. The book also offers a useful source of information for banking and finance professionals investigating different risk-related aspects.

Introduction.- Operational Risk.- The g-and-h Distribution.- Probabilistic view of Operational Risk.- Possibility Theory for Operational Risk.- Possibilistic View of Operational Risk.- Simulation Results.- A case study: Iron ore Mining in India.- Evaluation of the Possibilistic Quantification of Operational Risk.- Summary and Future Research.

Erscheinungsdatum	19.08.2017
Reihe/Serie	Studies in Fuzziness and Soft Computing
Zusatzinfo	XVI, 190 p.
Verlagsort	Cham
Sprache	englisch
Maße	155 x 235 mm
Gewicht	326 g
Themenwelt	Mathematik / Informatik ► Informatik ► Theorie / Studium
	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
	Technik
Schlagworte	Belief Degrees • Complexity • extreme value theory • Fuzzy Analytic Hierarchy Process • G-and-H Distribution • Possibilistic Risk Analysis • Quantitative Finance • Risk Measurement • Subjective Value at Risk • Uncertainty and Finance • Value at risk
ISBN-10	3-319-37418-4 / 3319374184
ISBN-13	978-3-319-37418-5 / 9783319374185
Zustand	Neuware