A Combined Fuzzy Approach to Market Risk Assessment

Rzayeva I.

International Conference on Intelligent and Fuzzy Systems, vol.1, no.1, pp.620-629, 2024 (Peer-Reviewed Journal)

Qısa məlumat

The article discusses a combined approach to solving the problem of multi-criteria assessment of market risk in the presence of alternative expert estimates of the probability of the occurrence of certain events that have a critical impact on the level of market risk. Within the framework of the proposed approach and the existing set of subcategories of market risk, a comprehensive methodology for comparative analysis and selection of banking decisions is proposed, based on the use of Pareto and Bord methods, trivial methods of decision making under uncertainty as well as fuzzy decision-making methods under uncertainty. When using fuzzy methods for assessing levels of market risk, all subcategories of market risk are considered as qualitative criteria, which are interpreted by appropriate fuzzy sets. As a result of calculations, alternative solutions regarding market situations are ranked by all proposed assessment …