Evaluating Operational Risk Exposure Using Fuzzy umber Approach to Scenario Analysis
نویسندگان
چکیده
Risks and losses arising from system failure, unauthorized activity, fraud and other operational errors are postulated to be one of the primary banking risks. Expert-based scenario analysis aims at describing the frequency and severity of extreme operational losses. Experts are not exact in predicting quantitative estimates for a distant future. The predicted scenarios are described by range estimates and qualitative storylines. This study introduces and applies the methodology for evaluation of the operational risk levels derived from the experts opinions collected from scenarios. The methodology is based on the use of fuzzy numbers to express subjective probability of expert estimates.
منابع مشابه
Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach
Operational risk is now increasingly being considered an important financial risk and has been gaining importance similar to market and credit risk. In particular, in the banking regulation for large financial institutions it is required that operational risk be separately measured. The capital being held to safeguard against such risk is very significant at a large financial institution. As ou...
متن کاملPort Performance Analysis Using Extent Fuzzy AHP Approach
Many methods have been adopted by shipping operators to evaluate, analyze and select ports of calls. Majority of these methods are generally based on evaluating different port performance criteria involved. The ports performance criteria are interrelated and are of a complex nature. Comparison of ports by different evaluation methods provides a basis for implementing operating strategies for...
متن کاملA Multi-Criteria Decision-Making Approach with Interval Numbers for Evaluating Project Risk Responses
The risk response development is one of the main phases in the project risk management that has major impacts on a large-scale project’s success. Since projects are unique, and risks are dynamic through the life of the projects, it is necessary to formulate responses of the important risks. Conventional approaches tend to be less effective in dealing with the imprecise of the risk response deve...
متن کاملA fuzzy group decision making approach to construction project risk management
Implementation of the risk management concepts into construction practice may enhance the performance of project by taking appropriate response actions against identified risks. This research proposes a multi-criteria group decision making approach for the evaluation of different alternative response scenarios. To take into account the uncertainties inherent in evaluation process, fuzzy logic i...
متن کاملPrioritizing Organizational Projects with Fuzzy Data Envelopment Analysis Approach (Case Study of Educational Research Plans)
The right choice of research projects is one of the most important effective ways to increase the productivity of research projects and allocate the resources appropriately. Training and education is one of the most important institutions for educating the students and prosperous people of the country. Due to the limited resources of this organization and, on the other hand, the expansion of sc...
متن کامل