| Elmar Aliev, Jamirza Aghajanov, Inara Rzayeva Market Risk Assessment by Expert Knowledge Compilation Using Fuzzy Analysis Methods |
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| Abstract. 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 paper discusses the method of expert evaluation of market risks using the example of a hypothetical commercial bank. As an analytical method for estimating market risk, fuzzy methods of multi-criteria evaluation are used, where the qualitative criteria are described by appropriate corresponding fuzzy sets. |
| Keywords: market risks, expert evaluation, fuzzy set, maxmin convolution, fuzzy inference |
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| DOI: https://doi.org/10.54381/pci2023.01 |
