Evaluating Operational Risk Exposure Using Fuzzy umber Approach to Scenario Analysis

DOI

10.2991/eusflat.2011.55How to use a DOI?

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

© 2011, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Antonina Durfee
AU  - Alexey Tselykh
PY  - 2011/08
DA  - 2011/08
TI  - Evaluating Operational Risk Exposure Using Fuzzy umber Approach to Scenario Analysis
BT  - Proceedings of the 7th conference of the European Society for Fuzzy Logic and Technology (EUSFLAT-11)
PB  - Atlantis Press
SP  - 1045
EP  - 1051
SN  - 1951-6851
UR  - https://doi.org/10.2991/eusflat.2011.55
DO  - 10.2991/eusflat.2011.55
ID  - Durfee2011/08
ER  -