Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory is popular PDF and ePub book, written by Arindam Chaudhuri in 2015-10-31, it is a fantastic choice for those who relish reading online the Technology & Engineering genre. Let's immerse ourselves in this engaging Technology & Engineering book by exploring the summary and details provided below. Remember, Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory can be Read Online from any device for your convenience.
Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory Book PDF Summary
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.
Detail Book of Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory PDF
- Author : Arindam Chaudhuri
- Release : 31 October 2015
- Publisher : Springer
- ISBN : 9783319260396
- Genre : Technology & Engineering
- Total Page : 198 pages
- Language : English
- PDF File Size : 13,7 Mb
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