In this note, David Babbel addresses reader questions concerning the methodology used in a prior paper, “Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach.” The main objectives of the note are to explain the justification of the method introduced, explain why the author thinks that the method is based on the Change of Measure approach, and explain how the method suggested in the study uses and filters the scenarios properly. To read the paper, click the link below.
Chambers and Partners recognizes CRA in 2025 Litigation Support and Crisis & Risk Management Guides
Practice categories recognized in the Litigation Support Guide 2025: Economic Analysts, band 3 – Global-wide Business Intelligence & Investigations, band 2 –...