A Note on Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach
10 Pages Posted: 28 Sep 2010
Date Written: September 24, 2010
Since I circulated a working paper (coauthored with Kabir Dutta) entitled “Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach” on the Wharton Financials Institutions Center website in March of 2010, many different questions have been received concerning the methodology we used. While we addressed those questions at an individual level, in this note I would like to address the questions for the readers at large.
Keywords: Scenario Analysis, Operational Risk Capital, Change of Measure, Internal Loss Data
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