Expert's opinion impact on financial risk management
by Martín Ezequiel Masci; María Teresa Casparri; Javier Ignacio García-Fronti
International Journal of Business Continuity and Risk Management (IJBCRM), Vol. 8, No. 3, 2018

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.

Online publication date: Wed, 01-Aug-2018

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Business Continuity and Risk Management (IJBCRM):
Login with your Inderscience username and password:

    Username:        Password:         

Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email