A fuzzy credibility model to estimate the Operational Value at Risk using internal and external data of risk events

作者：

Highlights：

• A fuzzy credibility model is proposed to estimate the Operational Value at Risk.

• Estimating the operational value at risk combining internal and external data.

• Determining the behaviuor of the OpVaR over time by using different risk profiles.

• Integration of qualitative information, different risk profiles and databases.

• Estimating the credibility of each external database with overlapping fuzzy sets.

摘要

•A fuzzy credibility model is proposed to estimate the Operational Value at Risk.•Estimating the operational value at risk combining internal and external data.•Determining the behaviuor of the OpVaR over time by using different risk profiles.•Integration of qualitative information, different risk profiles and databases.•Estimating the credibility of each external database with overlapping fuzzy sets.

论文关键词：Operational Value at Risk (OpVaR),Risk profile,Basel II,Loss distribution approach (LDA),Fuzzy credibility model,Internal and external data

论文评审过程：Received 9 November 2017, Revised 5 June 2018, Accepted 9 June 2018, Available online 15 June 2018, Version of Record 10 September 2018.

论文官网地址：https://doi.org/10.1016/j.knosys.2018.06.007