Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory 1st edition by Arindam Chaudhuri, Soumya Ghosh ISBN 3319260396 9783319260396

Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory 1st edition by Arindam Chaudhuri, Soumya Ghosh – Ebook PDF Instant Download/Delivery:  3319260396 , 9783319260396
Full download Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory 1st edition after payment

Product details:

ISBN 10: 3319260396
ISBN 13: 9783319260396
Author: Arindam Chaudhuri, Soumya Ghosh

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.

Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory 1st Table of contents:

1. Introduction

2. Operational Risk

3. The g-and-h Distribution

4. Probabilistic View of Operational Risk

5. Possibility Theory for Operational Risk

6. Possibilistic View of Operational Risk

7. Simulation Results

8. A Case Study: Iron Ore Mining in India

9. Evaluation of the Possibilistic Quantification of Operational Risk

10. Summary and Future Research

Backmatter

People also search for Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory 1st:

quantitative risk models

quantifying operational risk

operational risk modeling analytics pdf

quantitative modelling of operational risk and insurance analytics

is model risk part of operational risk

Tags: Arindam Chaudhuri, Soumya Ghosh, Quantitative Modeling, Operational Risk, Banking Using