Quantitative modeling of operational risk in finance and banking using possibility theory (Q1684630): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Changed an Item |
||
Property / describes a project that uses | |||
Property / describes a project that uses: Matlab / rank | |||
Normal rank |
Revision as of 08:06, 29 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Quantitative modeling of operational risk in finance and banking using possibility theory |
scientific article |
Statements
Quantitative modeling of operational risk in finance and banking using possibility theory (English)
0 references
11 December 2017
0 references
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.
0 references
operational risk
0 references
probabilistic approach
0 references
possibilistic approach
0 references