The DS evidence theory on banking operational risk management: New methodology and application

Zhang Chen; Zhu Weidong; Yang Shanlin

doi:10.1109/ICSSSM.2007.4280162

The DS evidence theory on banking operational risk management: New methodology and application

Zhang Chen
, Zhu Weidong
, Yang Shanlin

School of Management

Hefei University of Technology

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

Measurement of operational risk (oprisk) is one of the primary management concerns of banks. Because of the uncertainty common in assessing oprisk it's important to use the uncertainty reasoning theory to quantify the information from experts, owing to the key role of the experts' knowledge to the oprisk measurement. This paper used the DS evidence theory to establish the frame of discernment, collect the information from experts, and adopt 2 kinds of weight coefficients: weights of same group experts and weights of different groups, to modify the Dempster's combining formula to find the final assessment of operational risk. The paper it confirms the validity of this method through demonstration on 3 commercial banks in China.

Original language	English
Title of host publication	Proceedings - ICSSSM'07
Subtitle of host publication	2007 International Conference on Service Systems and Service Management
DOIs	https://doi.org/10.1109/ICSSSM.2007.4280162
State	Published - 2007
Event	ICSSSM'07: 2007 International Conference on Service Systems and Service Management - Changdu, China Duration: 9 Jun 2007 → 11 Jun 2007

Publication series

Name	Proceedings - ICSSSM'07: 2007 International Conference on Service Systems and Service Management

Conference

Conference	ICSSSM'07: 2007 International Conference on Service Systems and Service Management
Country/Territory	China
City	Changdu
Period	9/06/07 → 11/06/07

Keywords

Distance of evidences
DS evidence theory
Frame of discernment
Modified coefficient
Operational risk
Risk scoring

Access to Document

10.1109/ICSSSM.2007.4280162

Cite this

Chen, Z., Weidong, Z., & Shanlin, Y. (2007). The DS evidence theory on banking operational risk management: New methodology and application. In Proceedings - ICSSSM'07: 2007 International Conference on Service Systems and Service Management Article 4280162 (Proceedings - ICSSSM'07: 2007 International Conference on Service Systems and Service Management). https://doi.org/10.1109/ICSSSM.2007.4280162

@inproceedings{e4256e82390f4e03a4e1a061543d6b58,

title = "The DS evidence theory on banking operational risk management: New methodology and application",

abstract = "Measurement of operational risk (oprisk) is one of the primary management concerns of banks. Because of the uncertainty common in assessing oprisk it's important to use the uncertainty reasoning theory to quantify the information from experts, owing to the key role of the experts' knowledge to the oprisk measurement. This paper used the DS evidence theory to establish the frame of discernment, collect the information from experts, and adopt 2 kinds of weight coefficients: weights of same group experts and weights of different groups, to modify the Dempster's combining formula to find the final assessment of operational risk. The paper it confirms the validity of this method through demonstration on 3 commercial banks in China.",

keywords = "Distance of evidences, DS evidence theory, Frame of discernment, Modified coefficient, Operational risk, Risk scoring",

author = "Zhang Chen and Zhu Weidong and Yang Shanlin",

year = "2007",

doi = "10.1109/ICSSSM.2007.4280162",

language = "英语",

isbn = "1424408857",

series = "Proceedings - ICSSSM'07: 2007 International Conference on Service Systems and Service Management",

booktitle = "Proceedings - ICSSSM'07",

note = "ICSSSM'07: 2007 International Conference on Service Systems and Service Management ; Conference date: 09-06-2007 Through 11-06-2007",

}

Chen, Z, Weidong, Z & Shanlin, Y 2007, The DS evidence theory on banking operational risk management: New methodology and application. in Proceedings - ICSSSM'07: 2007 International Conference on Service Systems and Service Management., 4280162, Proceedings - ICSSSM'07: 2007 International Conference on Service Systems and Service Management, ICSSSM'07: 2007 International Conference on Service Systems and Service Management, Changdu, China, 9/06/07. https://doi.org/10.1109/ICSSSM.2007.4280162

The DS evidence theory on banking operational risk management: New methodology and application. / Chen, Zhang; Weidong, Zhu; Shanlin, Yang.
Proceedings - ICSSSM'07: 2007 International Conference on Service Systems and Service Management. 2007. 4280162 (Proceedings - ICSSSM'07: 2007 International Conference on Service Systems and Service Management).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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N2 - Measurement of operational risk (oprisk) is one of the primary management concerns of banks. Because of the uncertainty common in assessing oprisk it's important to use the uncertainty reasoning theory to quantify the information from experts, owing to the key role of the experts' knowledge to the oprisk measurement. This paper used the DS evidence theory to establish the frame of discernment, collect the information from experts, and adopt 2 kinds of weight coefficients: weights of same group experts and weights of different groups, to modify the Dempster's combining formula to find the final assessment of operational risk. The paper it confirms the validity of this method through demonstration on 3 commercial banks in China.

AB - Measurement of operational risk (oprisk) is one of the primary management concerns of banks. Because of the uncertainty common in assessing oprisk it's important to use the uncertainty reasoning theory to quantify the information from experts, owing to the key role of the experts' knowledge to the oprisk measurement. This paper used the DS evidence theory to establish the frame of discernment, collect the information from experts, and adopt 2 kinds of weight coefficients: weights of same group experts and weights of different groups, to modify the Dempster's combining formula to find the final assessment of operational risk. The paper it confirms the validity of this method through demonstration on 3 commercial banks in China.

KW - Distance of evidences

KW - DS evidence theory

KW - Frame of discernment

KW - Modified coefficient

KW - Operational risk

KW - Risk scoring

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M3 - 会议稿件

AN - SCOPUS:40549091296

SN - 1424408857

SN - 9781424408856

T3 - Proceedings - ICSSSM'07: 2007 International Conference on Service Systems and Service Management

BT - Proceedings - ICSSSM'07

Y2 - 9 June 2007 through 11 June 2007

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Chen Z, Weidong Z, Shanlin Y. The DS evidence theory on banking operational risk management: New methodology and application. In Proceedings - ICSSSM'07: 2007 International Conference on Service Systems and Service Management. 2007. 4280162. (Proceedings - ICSSSM'07: 2007 International Conference on Service Systems and Service Management). doi: 10.1109/ICSSSM.2007.4280162

The DS evidence theory on banking operational risk management: New methodology and application

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