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

10 Pages Posted: 28 Sep 2010

See all articles by David F. Babbel

David F. Babbel

University of Pennsylvania - The Wharton School - Finance and Insurance Departments; CRA International

Date Written: September 24, 2010

Abstract

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

Suggested Citation

Babbel, David F., A Note on Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach (September 24, 2010). Available at SSRN: https://ssrn.com/abstract=1683500 or http://dx.doi.org/10.2139/ssrn.1683500

David F. Babbel (Contact Author)

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