Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory
This book offers a comprehensive guide to the modelling of operational risk using possibility theory. It provides a set of methods for measuring operational risks under a certain degree of vagueness and impreciseness, as encountered in real-life data. It
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Arindam Chaudhuri Soumya K. Ghosh
Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory
Studies in Fuzziness and Soft Computing Volume 331
Series editor Janusz Kacprzyk, Polish Academy of Sciences, Warsaw, Poland e-mail: [email protected]
About this Series The series “Studies in Fuzziness and Soft Computing” contains publications on various topics in the area of soft computing, which include fuzzy sets, rough sets, neural networks, evolutionary computation, probabilistic and evidential reasoning, multi-valued logic, and related fields. The publications within “Studies in Fuzziness and Soft Computing” are primarily monographs and edited volumes. They cover significant recent developments in the field, both of a foundational and applicable character. An important feature of the series is its short publication time and world-wide distribution. This permits a rapid and broad dissemination of research results.
More information about this series at http://www.springer.com/series/2941
Arindam Chaudhuri Soumya K. Ghosh •
Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory
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Arindam Chaudhuri Samsung R&D Institute Delhi Noida, Uttar Pradesh India
Soumya K. Ghosh School of Information Technology Indian Institute of Technology Kharagpur India
ISSN 1434-9922 ISSN 1860-0808 (electronic) Studies in Fuzziness and Soft Computing ISBN 978-3-319-26037-2 ISBN 978-3-319-26039-6 (eBook) DOI 10.1007/978-3-319-26039-6 Library of Congress Control Number: 2015954341 Springer Cham Heidelberg New York Dordrecht London © Springer International Publishing Switzerland 2016 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. Printed on acid-free paper Springer International Publishing AG Switzerland is part of Springer Science+Business Media (www.springer.com)
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Contents
1
Introduction. . . . . . . . . . . . . . . . . . . . 1.1 Organization of the Monograph . . 1.2 Notation . . . . . . .
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