Proceedings of the 7th conference of the European Society for Fuzzy Logic and Technology (EUSFLAT-11)

Evaluating Operational Risk Exposure Using Fuzzy umber Approach to Scenario Analysis

Authors
Antonina Durfee, Alexey Tselykh
Corresponding Author
Antonina Durfee
Available Online August 2011.
DOI
https://doi.org/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.
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This is an open access article distributed under the CC BY-NC license.

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Proceedings
Proceedings of the 7th conference of the European Society for Fuzzy Logic and Technology
Part of series
Advances in Intelligent Systems Research
Publication Date
August 2011
ISBN
978-90-78677-00-0
ISSN
1951-6851
DOI
https://doi.org/10.2991/eusflat.2011.55How to use a DOI?
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  -