DocumentCode
2789163
Title
Value at risk of loan portfolio with fuzzy return rates
Author
Ning, Yu-fu ; Tang, Wan-sheng ; Yan, Wei-zhen
Author_Institution
Inst. of Syst. Eng., Tianjin Univ., Tianjin
Volume
3
fYear
2008
fDate
12-15 July 2008
Firstpage
1538
Lastpage
1541
Abstract
This paper proposes the concept of the value at risk (VaR) of the loan portfolio with fuzzy return rates, and presents three kinds of forms of the definitions by possibility measure, necessity measure, and credibility measure. When all the return rates are special triangular fuzzy variables, the equations of the definitions can first be transformed into crisp equivalents, then be calculated by the dichotomy method. When the membership functions of return rates are complex, fuzzy simulation is designed to calculate the VaR. Finally, two numerical examples are given to illustrate the effectiveness of the proposed method.
Keywords
bank data processing; credit transactions; fuzzy set theory; possibility theory; risk management; credibility measure; dichotomy method; fuzzy return rates; loan portfolio; membership function; necessity measure; possibility measure; triangular fuzzy variables; value-at-risk; Algorithm design and analysis; Cybernetics; Fuzzy systems; Genetic algorithms; Machine learning; Modeling; Portfolios; Reactive power; Stochastic processes; Systems engineering and theory; Value at risk (VaR); credibility measure; fuzzy return rates; fuzzy simulation; fuzzy variables; loan portfolio;
fLanguage
English
Publisher
ieee
Conference_Titel
Machine Learning and Cybernetics, 2008 International Conference on
Conference_Location
Kunming
Print_ISBN
978-1-4244-2095-7
Electronic_ISBN
978-1-4244-2096-4
Type
conf
DOI
10.1109/ICMLC.2008.4620650
Filename
4620650
Link To Document