Akademik Məlumat İdarəetmə Sistemi
Intelligent and Fuzzy Systems - Intelligence and Sustainable Future Proceedings of the INFUS 2023 Conference, İstanbul, Turkey, 22 - 24 August 2023, vol.758 LNNS, pp.767-775
Permanent volatility in the economy requires any commercial bank to conduct effective market risk management. Every year, the volume of banking operations associated with market risks increases appreciably, which causes further complication of financial instruments. Based on this premise, the importance and relevance of the task of managing market risks from the position of finding the optimal ratio between income, risk and bank liquidity becomes obvious. The above applies to small and medium-sized commercial banks, whose assets do not have the necessary expert and analytical resources to analyze trends and predict dynamics in the securities market, exchange operations and interest rates. Actually, this has become the main subject of this study, which discusses the methods of expert evaluation of market risks using the example of a hypothetical commercial bank. As an analytical method for estimating MR, a fuzzy maximin convolution method is used, where the qualitative evaluation criteria are described by appropriate fuzzy sets.