Title: Expert's opinion impact on financial risk management

Authors: Martín Ezequiel Masci; María Teresa Casparri; Javier Ignacio García-Fronti

Addresses: Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión, IADCOM, Facultad de Ciencias Económicas, Universidad de Buenos Aires, Av. Córdoba 2122, C1120AAQ, CABA, Argentina ' Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión, IADCOM, Facultad de Ciencias Económicas, Universidad de Buenos Aires, Av. Córdoba 2122, C1120AAQ, CABA, Argentina ' Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión, IADCOM, Facultad de Ciencias Económicas, Universidad de Buenos Aires, Av. Córdoba 2122, C1120AAQ, CABA, Argentina

Abstract: The present work proposes to incorporate expert's opinions into the traditional calculation of financial risk management models. These traditional quantitative models ignore qualitative knowledge available (subjective and mathematically imprecise). To do this, this paper articulates value-at-risk (VaR) practioner's perspective with experts' opinion. This work focuses on the techniques associated with the mathematical approach as opposed to the behavioural one and within this approach, contrasting those axiomatic with the Bayesian. The authors argue that expert's judgement is relevant to market risk management. In particular, financial risks are especially sensitive to decision makers' opinions. Three strategies are proposed. Firstly, Bayesian techniques, secondly, fuzzy logic with VaR approximation through triangular fuzzy numbers (TFN) and thirdly, expert discussion through Delphi dynamics are considered.

Keywords: risk management; expert's opinion; value at risk; Bayesian techniques; fuzzy logic.

DOI: 10.1504/IJBCRM.2018.094163

International Journal of Business Continuity and Risk Management, 2018 Vol.8 No.3, pp.249 - 261

Available online: 01 Aug 2018 *

Full-text access for editors Access for subscribers Purchase this article Comment on this article