04294nam 22007095 450 991025418560332120200630134448.03-319-26039-110.1007/978-3-319-26039-6(CKB)3780000000094071(SSID)ssj0001584733(PQKBManifestationID)16265130(PQKBTitleCode)TC0001584733(PQKBWorkID)14866095(PQKB)11414263(DE-He213)978-3-319-26039-6(MiAaPQ)EBC5592637(PPN)190530030(EXLCZ)99378000000009407120151031d2016 u| 0engurnn|008mamaatxtccrQuantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory /by Arindam Chaudhuri, Soumya K. Ghosh1st ed. 2016.Cham :Springer International Publishing :Imprint: Springer,2016.1 online resource (XVI, 190 p. 65 illus., 53 illus. in color.) Studies in Fuzziness and Soft Computing,1434-9922 ;331Bibliographic Level Mode of Issuance: Monograph3-319-26037-5 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.Studies in Fuzziness and Soft Computing,1434-9922 ;331Computational complexityStatistics Operations researchDecision makingEconomics, Mathematical Complexityhttps://scigraph.springernature.com/ontologies/product-market-codes/T11022Statistics for Business, Management, Economics, Finance, Insurancehttps://scigraph.springernature.com/ontologies/product-market-codes/S17010Operations Research/Decision Theoryhttps://scigraph.springernature.com/ontologies/product-market-codes/521000Quantitative Financehttps://scigraph.springernature.com/ontologies/product-market-codes/M13062Computational complexity.Statistics .Operations research.Decision making.Economics, Mathematical .Complexity.Statistics for Business, Management, Economics, Finance, Insurance.Operations Research/Decision Theory.Quantitative Finance.658.155Chaudhuri Arindamauthttp://id.loc.gov/vocabulary/relators/aut763017Ghosh Soumya Kauthttp://id.loc.gov/vocabulary/relators/autMiAaPQMiAaPQMiAaPQBOOK9910254185603321Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory2496894UNINA