Analysis of Different Versions of the Credibilistic Value at Risk

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.