Improving risk assessment techniques in the banking sector /
Ahmed Mahmoud Salim Eliwa
Improving risk assessment techniques in the banking sector / تحسين اساليب تقييم المخاطر فى قطاع البنوك Ahmed Mahmoud Salim Eliwa ; Supervised Hegazy Mohamed Zaher , Assem Abdelfattah Tharwat , Ramadan Abdelhamed Zenelden - Cairo : Ahmed Mahmoud Salim Eliwa , 2019 - 176 P. : charts ; 25cm
Thesis (Ph.D.) - Cairo University - Faculty of Graduate Studies for Statistical Research - Department of Operations Research
This thesis uses a fuzzy numbers to improve risk measure for operational risk in banking sector. Firstly, to increase the accuracy of estimated operational loss in future period, we improved Loss Distribution Approach through using triangular fuzzy number to generate the random numbers, which represents the frequency and severity for operational risk instead of depending on the probability distribution. Secondly, to improve the estimated required capital to meet operational risk, the fuzzy number was used to introduce a fuzzy risk measure. This fuzzy risk measure can be used as an early warning indicator to operational risk and as an alternative the Value at Risk and Expected Shortfall
Fuzzy set theory Operational risk Risk measure
Improving risk assessment techniques in the banking sector / تحسين اساليب تقييم المخاطر فى قطاع البنوك Ahmed Mahmoud Salim Eliwa ; Supervised Hegazy Mohamed Zaher , Assem Abdelfattah Tharwat , Ramadan Abdelhamed Zenelden - Cairo : Ahmed Mahmoud Salim Eliwa , 2019 - 176 P. : charts ; 25cm
Thesis (Ph.D.) - Cairo University - Faculty of Graduate Studies for Statistical Research - Department of Operations Research
This thesis uses a fuzzy numbers to improve risk measure for operational risk in banking sector. Firstly, to increase the accuracy of estimated operational loss in future period, we improved Loss Distribution Approach through using triangular fuzzy number to generate the random numbers, which represents the frequency and severity for operational risk instead of depending on the probability distribution. Secondly, to improve the estimated required capital to meet operational risk, the fuzzy number was used to introduce a fuzzy risk measure. This fuzzy risk measure can be used as an early warning indicator to operational risk and as an alternative the Value at Risk and Expected Shortfall
Fuzzy set theory Operational risk Risk measure