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Abstract This thesis uses a fuzzy numbers to improve risk measure for operational risk in banking sector. Firstly, to increase the accuracy of estimated operational loss in future period, we improved Loss Distribution Approach through using triangular fuzzy number to generate the random numbers, which represents the frequency and severity for operational risk instead of depending on the probability distribution. Secondly, to improve the estimated required capital to meet operational risk, the fuzzy number was used to introduce a fuzzy risk measure. This fuzzy risk measure can be used as an early warning indicator to operational risk and as an alternative the Value at Risk and Expected Shortfall |