An integrated inverse adaptive neural fuzzy system with Monte-Carlo sampling method for operational risk management.

Expert Systems with Applications(2018)

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摘要
•A flexible integrated inverse adaptive fuzzy inference model is proposed.•The model contributes to improve operational risk measurement.•The model combines Monte Carlo estimation of loss distribution and risk profiles.•The model relies on the fuzzy input that represents frequency and severity of risk.•The model can monitor the evolution of the risk profile of an organization.
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关键词
Monte-Carlo sampling,Integrated adaptive neural fuzzy system,Loss distribution approach,Operational value at risk,Risk profile,Basel committee on banking supervision
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