Model of Assessment of Operational Risk Linked with a Working Day of Bank Personnel

Abstract

The article conducts analysis of works of both domestic and foreign scientists, connected with development of risk models in bank activity. It reveals specific features and formulates urgency of development of a model and method of assessment of the operational risk with consideration of fuzzy values. Depending on the nature of the field of identification of fuzzy variables, the article underlines linguistic variables, for which the top and bottom boundaries are determined. The article offers a structural model of assessment of the operational risk, based on the system of fuzzy conclusion, where each term set confronts with a relevant linguistic variable. The process of transformation of qualitative assessments into fuzzy values lies in reflection of the elements of the initial term set in the form of building the belonging functions. The article formulates bases of rules of the fuzzy conclusion system. Results of modelling the assessment of the operational risk are represented in the form of the procedure of fuzzy conclusion and surface with consideration of input linguistic variables.

Keywords

• operational risk
• fuzzy sets
• term set