A fuzzy credibility model to estimate the Operational Value at Risk using internal and external data of risk events.
Alejandro PeñaIsis BonetChristian LochmullerHéctor Alejandro PatiñoFrancisco ChiclanaMario A. GóngoraPublished in: Knowl. Based Syst. (2018)
Keyphrases
- internal and external
- data sets
- experimental data
- test data
- simulation data
- probability distribution
- mathematical model
- empirical data
- network structure
- natural disasters
- data points
- input data
- statistical methods
- risk assessment
- goal programming
- portfolio optimization
- measurement data
- raw data
- neural network
- estimation process
- measured data
- decision making
- panel data
- data analysis
- data structure
- missing data
- computational model
- data collection
- fuzzy sets
- temporal data
- database
- behavioral data
- data sources