With the Basel Committee revised the position on operational risk management in 2002, it is urgent for the banks to find some suitable methods to analyze their operation risk. Case-based reasoning is the process of using solutions to previously encountered problems as a basis for reasoning solution to new problems. However, redundant features may lead to a high computational load in case retrieval. This paper presents a novel rough set- based case-based reasoning approach for operation risk analysis in banks under new Basel Capital Accord (Basel II). Through a rough set-based approach, case-based reasoning for operation risk analysis will reduce the redundant features while maintaining the classification accuracy.
['Ling Sun', 'Jiayu Chi']
Rough Set Approach to Case-Based Reasoning for Operation Risk Analysis under Basel II