Fuzzy credibility for mixing different data sources in evaluating operational risk: Modelling operational risk

After the global financial crisis of 2008 the banking sector has shown a strong interest, internationally and in Colombia, in developing models to manage and measure the risks of business processes and in particular the risk associated with the operations of an organization (operational risk). This article proposes a model based on fuzzy credibility theory in order to mix different data sources for evaluating operational risk. The results of calculating the OpVaR are compared using both, credibility theory and fuzzy credibility. It can be concluded that these results differ, when the membership of the internal data to the external data set is low. In this case the fuzzy model gives more weight to external data compared to the model that applies credibility theory.