A proposal for the fuzzification of causal variables in operational risk management

This contribution is deemed in the view of the authors, as a methodological proposal in order to employ the well known fuzzy approach in a context of operational risk management. Even though the available data can not be considered native fuzzy, we show that modelling them according to fuzzy intervals is useful from two point of view: it allows to take into account and to exploit more information and, on the other hand, either unsupervised or supervised models applied to this kind of data present comparatively good performance. The paper shows how to obtain fuzzy data moving from a classical database and later on the application of fuzzy principal components analysis and linear regression analysis.