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Quantitative Modeling of Operational Risk in Finance and Banking Using Possib...

Description: Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory, Hardcover by Chaudhuri, Arindam; Ghosh, Soumya K., ISBN 3319260375, ISBN-13 9783319260372, Brand New, Free P&P in the UK

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. Th 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. Th also offers a useful source of information for banking and finance professionals investigating different risk-related aspects.

Price: 121.63 GBP

Location: Castle Donington

End Time: 2024-12-04T10:39:31.000Z

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Quantitative Modeling of Operational Risk in Finance and Banking Using Possib...

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Book Title: Quantitative Modeling of Operational Risk in Finance and Banking

Number of Pages: 190 Pages

Publication Name: Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory

Language: English

Publisher: Springer International Publishing A&G

Item Height: 235 mm

Subject: Accounting, Government, Computer Science, Mathematics, Management

Publication Year: 2015

Type: Textbook

Item Weight: 553 g

Subject Area: Data Analysis

Author: Soumya K. Ghosh, Arindam Chaudhuri

Item Width: 155 mm

Series: Studies in Fuzziness and Soft Computing

Format: Hardcover

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