Evaluating Operational Risk Exposure Using Fuzzy umber Approach to Scenario Analysis
Antonina Durfee, Alexey Tselykh
Available Online August 2011.
- https://doi.org/10.2991/eusflat.2011.55How to use a DOI?
- operational risk, scenario analysis, fuzzy decision making, fuzzy number
- 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.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
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 PB - Atlantis Press SP - 1045 EP - 1051 SN - 1951-6851 UR - https://doi.org/10.2991/eusflat.2011.55 DO - https://doi.org/10.2991/eusflat.2011.55 ID - Durfee2011/08 ER -