title: |
Evaluating Operational Risk Exposure Using Fuzzy umber Approach to Scenario Analysis |
|
publication: |
||
part of series: |
Advances in Intelligent Systems Research | |
| pages: | 1045 - 1051 | |
DOI: |
To be assigned soon (how to use a DOI) | |
author(s): |
Antonina Durfee, Alexey Tselykh |
|
publication date: |
July 2011 |
|
keywords: |
operational risk, scenario analysis, fuzzy
decision making, fuzzy number |
|
abstract: |
Risks and losses arising from system failure, unauthorized activity, fraud and other operational errors are
postulated to be one of the primary banking risks. Expert-based scenario analysis aims at describing the frequency and severity of extreme operational losses. Experts are not exact in predicting quantitative estimates
for a distant future. The predicted scenarios are described by range estimates and qualitative storylines.
This study introduces and applies the methodology for
evaluation of the operational risk levels derived from
the experts opinions collected from scenarios. The methodology is based on the use of fuzzy numbers to express subjective probability of expert estimates. |
|
copyright: |
©
Atlantis Press. This article is distributed under the
terms of the Creative Commons Attribution License, which permits
non-commercial use, distribution and reproduction in any medium,
provided the original work is properly cited. |
|
full text: |