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

Business & Finance, Economics, Statistics, Nonfiction, Science & Nature, Technology, Reference & Language, Reference
Cover of the book Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory by Arindam Chaudhuri, Soumya K. Ghosh, Springer International Publishing
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Arindam Chaudhuri, Soumya K. Ghosh ISBN: 9783319260396
Publisher: Springer International Publishing Publication: October 31, 2015
Imprint: Springer Language: English
Author: Arindam Chaudhuri, Soumya K. Ghosh
ISBN: 9783319260396
Publisher: Springer International Publishing
Publication: October 31, 2015
Imprint: Springer
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Springer International Publishing

Cover of the book Global Ecology and Oceanography of Harmful Algal Blooms by Arindam Chaudhuri, Soumya K. Ghosh
Cover of the book Dynamics of Disasters—Key Concepts, Models, Algorithms, and Insights by Arindam Chaudhuri, Soumya K. Ghosh
Cover of the book The Radicalization of Cicero by Arindam Chaudhuri, Soumya K. Ghosh
Cover of the book Architecting User-Centric Privacy-as-a-Set-of-Services by Arindam Chaudhuri, Soumya K. Ghosh
Cover of the book Risk Assessment of Storms in Coastal Zones: Case Studies from Cartagena (Colombia) and Cadiz (Spain) by Arindam Chaudhuri, Soumya K. Ghosh
Cover of the book Artificial Intelligence and Signal Processing by Arindam Chaudhuri, Soumya K. Ghosh
Cover of the book Spectral and High Order Methods for Partial Differential Equations ICOSAHOM 2016 by Arindam Chaudhuri, Soumya K. Ghosh
Cover of the book The Econometric Analysis of Non-Stationary Spatial Panel Data by Arindam Chaudhuri, Soumya K. Ghosh
Cover of the book Neurobrucellosis by Arindam Chaudhuri, Soumya K. Ghosh
Cover of the book Integrated Project Management Sourcebook by Arindam Chaudhuri, Soumya K. Ghosh
Cover of the book Cultures of Mathematics and Logic by Arindam Chaudhuri, Soumya K. Ghosh
Cover of the book An Introduction to Machine Learning by Arindam Chaudhuri, Soumya K. Ghosh
Cover of the book Cross-Cultural Multimedia Computing by Arindam Chaudhuri, Soumya K. Ghosh
Cover of the book Recent Trends in Combinatorics by Arindam Chaudhuri, Soumya K. Ghosh
Cover of the book Improving Outcomes for Breast Cancer Survivors by Arindam Chaudhuri, Soumya K. Ghosh
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy