A fuzzy credibility model to estimate the Operational Value at Risk using internal and external data of risk events.

•A fuzzy credibility model is proposed to estimate the Operational Value at Risk.•Estimating the operational value at risk combining internal and external data.•Determining the behaviuor of the OpVaR over time by using different risk profiles.•Integration of qualitative information, different risk profiles and databases.•Estimating the credibility of each external database with overlapping fuzzy sets.