VALUE AT RISK OF LOAN PORTFOLIO WITH FUZZY RETURN RATES

摘要：

This paper proposes the concept of the value at risk (VaR) of the loan portfolio with fuzzy return rates, and presents three kinds of forms of the definitions by possibility measure, necessity measure, and credibility measure. When all the return rates are special triangular fuzzy variables, the equations of the definitions can first be transformed into crisp equivalents, then be calculated by the dichotomy method. When the membership functions of return rates are complex, fuzzy simulation is designed to calculate the VaR. Finally, two numerical examples are given to illustrate the effectiveness of the proposed method.

关键词： Value at risk (VaR) loan portfolio fuzzy return rates fuzzy variables credibility measure fuzzy simulation

作者: YU-FU NING WAN-SHENG TANG WEI-ZHEN YAN

作者单位: Institute of Systems Engineering, Tianjin University, Tianjin 300072, China Department of Computer S Institute of Systems Engineering, Tianjin University, Tianjin 300072, China

会议类型: 国际会议

会议名称: 2008 International Conference on Machine Learning and Cybernetics(2008机器学习与控制论国际会议)

会议地点: 昆明

会议语种:英文

页码: 1538-1541

在线出版日期: 2008-07-12（万方平台首次上网日期，不代表论文的发表时间）