| 書目名稱 | Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory |
| 編輯 | Arindam Chaudhuri,Soumya K. Ghosh |
| 視頻video | http://file.papertrans.cn/781/780923/780923.mp4 |
| 概述 | Offers a comprehensive report on the modeling of operational risk using possibility theory.Features a set of methods for analyzing operational risk using fuzzy set theory.Presents advanced concepts in |
| 叢書名稱 | Studies in Fuzziness and Soft Computing |
| 圖書封面 |  |
| 描述 | .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 c |
| 出版日期 | Book 2016 |
| 關鍵詞 | Belief Degrees; Extreme Value Theory; Fuzzy Analytic Hierarchy Process; G-and-H Distribution; Possibilis |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-319-26039-6 |
| isbn_softcover | 978-3-319-37418-5 |
| isbn_ebook | 978-3-319-26039-6Series ISSN 1434-9922 Series E-ISSN 1860-0808 |
| issn_series | 1434-9922 |
| copyright | Springer International Publishing Switzerland 2016 |
|Archiver|手機版|小黑屋|
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