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

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  • Babbel, David F.

    (University of PA and Charles River Associates)

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 Financial 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.

Suggested Citation

  • Babbel, David F., 2010. "A Note on Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach," Working Papers 10-26, University of Pennsylvania, Wharton School, Weiss Center.
    • Handle: RePEc:ecl:upafin:10-26
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    File URL: http://fic.wharton.upenn.edu/fic/papers/10/10-26.pdf
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    References listed on IDEAS

    as
    1. Kabir K. Dutta & David F. Babbel, 2014. "Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(2), pages 303-334, June.
    2. Bakhodir Ergashev, 2012. "A Theoretical Framework for Incorporating Scenarios into Operational Risk Modeling," Journal of Financial Services Research, Springer;Western Finance Association, vol. 41(3), pages 145-161, June.
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    Cited by:

    1. Sovan Mitra, 2013. "Scenario Generation For Operational Risk," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 20(3), pages 163-187, July.
    2. Bakhodir Ergashev, 2012. "A Theoretical Framework for Incorporating Scenarios into Operational Risk Modeling," Journal of Financial Services Research, Springer;Western Finance Association, vol. 41(3), pages 145-161, June.

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