Quantitative modeling of operational risk in finance and banking using possibility theory (Q1684630): Difference between revisions

The reviewed book consists of the following chapters. The general approach operational risk is presented in Chapter 2. The probabilistic view of operational risk is described in Chapters 3 and 4. The possibilistic view of operational risk is introduced in Chapters 5 and 6. In Chapter 7 the authors apply a simulation method: for risk control estimates, linear regression hedging, for the investigation of the equivalence of chance and value at risk constraints and for determining portfolio rebalancing strategies. A case study based on iron ore mining in India is considered in Chapter 8. At the end of Chapters 9 and 10, the authors evaluate possibilistic quantification of operational risk with summary and future research. The computational framework is implemented using MATLAB optimization toolbox.