Journal of Operational Risk

Risk.net

Fuzzy methods for variable selection in operational risk management

Paola Cerchiello and Paolo Giudici

ABSTRACT

This paper illustrates how fuzzy logic can be helpful for constructing event-type variables in operational risk management. Even when the available databases cannot be considered "native" fuzzy, we show that modeling them according to fuzzy intervals is useful for two reasons. First, it allows more information to be taken into account, and exploited, and second, predictive models applied to this kind of data perform comparatively well. The paper shows how to organize event type variables into macro classes using fuzzy variables, and also shows how such variables can improve predictive performance.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: