Quantitative modeling of operational risk in finance and banking using possibility theory
Auteur :
Chaudhuri, Arindam / Ghosh, Soumya K.
Éditeur :
Springer International Publishing AG
ISBN :
9783319374185
Date de publication :
23 août 2016
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Suisse
This book offers a comprehensive guide to the modelling of operational risk using possibility theory. 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.