Title :
Measuring Fuzzy Risk by Credibilistic Value at Risk
Author_Institution :
Coll. of Math. & Inf. Sci., Huanggang Normal Univ., Huanggang
Abstract :
The value at risk (VaR) methodology is a widely used tool in financial market risk management. In this paper, we present a new method for fuzzy risk analysis. First, we present the new concept of the credibilistic value at risk based on credibility theory. Then, we examine some properties of the proposed credibilistic value at risk. Finally, a kind of fuzzy simulation algorithm is given to show how to calculate the credibilistic value at risk. The proposed credibilistic VaR is suitable for use in many real problems of fuzzy risk analysis.
Keywords :
fuzzy set theory; risk analysis; stock markets; credibilistic value at risk; credibility theory; financial market; fuzzy risk analysis; fuzzy risk measurement; fuzzy simulation algorithm; Chromium; Fuzzy set theory; Fuzzy systems; Mathematics; Reactive power; Risk analysis; Risk management; Stochastic processes; Uncertain systems; Uncertainty;
Conference_Titel :
Innovative Computing Information and Control, 2008. ICICIC '08. 3rd International Conference on
Conference_Location :
Dalian, Liaoning
Print_ISBN :
978-0-7695-3161-8
Electronic_ISBN :
978-0-7695-3161-8
DOI :
10.1109/ICICIC.2008.351
