Analysis of Different Versions of the Credibilistic Value at Risk

Author

Peng, Jin ; Li, Shengguo

Author_Institution

Inst. of Uncertain Syst., Huanggang Normal Univ., Huangganag, China

Volume

6

fYear

2009

fDate

14-16 Aug. 2009

Firstpage

96

Lastpage

100

Abstract

Value at risk (VaR) is the most frequently used risk measures in current risk management practice. However, there are different versions of the definitions of VaR. In this paper, we focus on a comparison of different versions of the credibilistic VaR in fuzzy risk analysis. First, we present different versions of the credibilistic VaR based on credibility theory. Then, we examine some properties of the proposed credibilistic VaR. Finally, a kind of fuzzy simulation algorithm is given to show how to calculate the credibilistic VaR.

Keywords

financial management; fuzzy set theory; risk analysis; credibilistic VaR; credibilistic value at risk; credibility theory; fuzzy risk analysis; fuzzy simulation algorithm; risk management practice; risk measures; Current measurement; Fuzzy set theory; Fuzzy systems; Information analysis; Mathematics; Reactive power; Risk analysis; Risk management; Stochastic processes; Uncertainty; credibilistic value at risk; credibility theory; fuzzy risk analysis; fuzzy simulation; fuzzy variable;

fLanguage

English

Publisher

ieee

Conference_Titel

Fuzzy Systems and Knowledge Discovery, 2009. FSKD '09. Sixth International Conference on

Conference_Location

Tianjin

Print_ISBN

978-0-7695-3735-1

Type

conf

DOI

10.1109/FSKD.2009.53

Filename

5359803