Title
A fuzzy credibility model to estimate the Operational Value at Risk using internal and external data of risk events
Date Issued
01 November 2018
Access level
open access
Resource Type
journal article
Author(s)
EIA University
Publisher(s)
Elsevier B.V.
Abstract
Operational Risk (OpR) refers to the possibility of suffering losses resulting from inadequate or failure of processes and/or technology, inadequate behaviour of people or external events. OpR was one of the main risks that led to the 2008 global financial crisis. Limitations of the analytical models that are applied in estimating this risk surface when qualitative information, frequently associated with OpR events, is used. To determine the magnitude of OpR in financial organisations, qualitative data and also historical data from risk events can be used. Current research trends that focus on the development of analytical models, by using different databases, to estimate the Operational Value at Risk (OpVaR) still lack models based on qualitative information, risk management profiles and the ability to integrate different databases of OpR events. In this paper we present a fuzzy model to estimate the OpVaR of an organisation by working with two different databases that contain internal available data and external or observed data. The proposed model considers: (1) the intrinsic properties of the data as fuzzy sets related to the linguistic variables of the observed data (external) and the data from available databases (internal), and (2) a series of management profiles to mitigate the effect that external data usually causes in estimating the OpVaR of an organisation. The results obtained with the proposed model allow an organisation to estimate and determine the behaviour of the OpVaR over time by using different risk profiles. The integration of qualitative information, different risk profiles (ranging from weak to strong risk management), and internal and external databases contributes to the advancement of estimating the OpVaR in risk management.
Start page
98
End page
109
Volume
159
Language
English
OCDE Knowledge area
Otras ingenierías y tecnologías
Economía
Subjects
Scopus EID
2-s2.0-85048970233
Source
Knowledge-Based Systems
ISSN of the container
09507051
Sources of information:
Directorio de Producción Científica
Scopus