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.
CRA announces vice president promotions
“I value the successes and achievements of all my colleagues and particularly enjoy when I have the privilege of congratulating our newly promoted vice...