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العنوان
Improving risk assessment techniques in the banking sector /
الناشر
Ahmed Mahmoud Salim Eliwa ,
المؤلف
Ahmed Mahmoud Salim Eliwa
هيئة الاعداد
باحث / Ahmed Mahmoud Salim Eliwa
مشرف / Hegazy Mohamed Zaher
مشرف / Assem Abdelfattah Tharwat
مشرف / Ramadan Abdelhamed Zenelden
تاريخ النشر
2019
عدد الصفحات
176 P. :
اللغة
الإنجليزية
الدرجة
الدكتوراه
التخصص
Management Science and Operations Research
تاريخ الإجازة
21/9/2019
مكان الإجازة
جامعة القاهرة - المكتبة المركزية - Operations Research
الفهرس
Only 14 pages are availabe for public view

from 196

from 196

Abstract

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