Organization of risk management in a commercial bank based on a fuzzy cognitive map.

Abstract

Any commercial bank tries to determine the degree of acceptable risks of material and/or reputational losses, believing that its potential losses are inversely proportional to the volume of its capital. Therefore, the basis of successful banking is the presence of a Risk Management System in the commercial bank structure, the main task of which is to determine the best (or rational) strategy for concluding contracts and ensuring maximum profit growth. Within the Risk Management System, there are used statistical analysis tools allowing evaluating and comparing the consequences and expediency of certain transactions by establishing a quantitative measure of banking risk from any transaction. Moreover, these tools make it possible to formalize various transactions and, thereby, ensure the accumulation of commercial bank experience. To form heuristic knowledge from the history of the conclusion of various contracts, it is necessary to use and accumulate expert opinions, and, as a result, fuzzy methods of analysis and decision-making regarding banking transactions on each localization point. The paper considers a fuzzy cognitive map for assessing internal and external banking risks. This approach involves the use of a fuzzy cognitive model, based on which cause-effect relationships for assessing banking risks at all levels of the hierarchy of their detailing are described using the fuzzy inference systems. Qualitative evaluation criteria for the areas of localization of banking operations and external influences are used as input and output characteristics. For the formal description of these weakly structured characteristics, there are used appropriate fuzzy sets which are restored on the corresponding universes by corresponding membership functions. At the same time, the method of point estimation of fuzzy sets is applied for the defuzzification of fuzzy conclusions relative to the risk levels on all nodes of the localization of banking operations.