Kabir Dutta

CRA International

Principal

200 Clarendon Street, T-33

Boston, MA 02116

United States

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

2

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SSRN CITATIONS
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SSRN RANKINGS

Top 13,737

in Total Papers Citations

17

CROSSREF CITATIONS

67

Scholarly Papers (2)

1.

A Tale of Tails: An Empirical Analysis of Loss Distribution Models for Estimating Operational Risk Capital

FRB of Boston Working Paper No. 06-13
Number of pages: 93 Posted: 26 Jul 2006
Kabir Dutta and Jason Perry
CRA International and affiliation not provided to SSRN
Downloads 2,136 (8,317)
Citation 107

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exploratory data analysis, operational risk, g-and-h distribution, goodness-of-fit, skewness-kurtosis, risk measurement, extreme value theory, peak-over-threshold method, generalized Pareto distribution, truncated lognormal distribution, loglogistic distribution

Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach

Number of pages: 28 Posted: 07 Mar 2010 Last Revised: 23 Oct 2012
Kabir Dutta and David F. Babbel
CRA International and University of Pennsylvania - The Wharton School - Finance and Insurance Departments
Downloads 860 (32,872)
Citation 5

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Scenario Analysis, Operational Risk Capital, Stress Testing, Change of Measure, Loss Data Modeling, Basel Capital Accord

Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach

Journal of Risk and Insurance, Vol. 81, Issue 2, pp. 303-334, 2014
Number of pages: 32 Posted: 17 May 2014
Kabir Dutta and David F. Babbel
CRA International and University of Pennsylvania - The Wharton School - Finance and Insurance Departments
Downloads 1 (799,569)
Citation 1
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