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

David Babbel

Working Papers from University of Pennsylvania, Wharton School, Weiss Center

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.

Date: 2010-09
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