David Babbel and Kabir Dutta show that while scenario analysis is an important tool for risk measurement, its use in the measurement of operational risk capital has been quite arbitrary and often inaccurate. They propose a method for the measurement of operational risk exposure of an institution using scenario analysis and internal loss data but based on the Change of Measure approach used for asset pricing in financial economics.
US Attorney’s Office: Corporate Voluntary Self-Disclosure Policy
The US Attorney’s Office (USAO) Corporate Voluntary Self-Disclosure (VSD) Policy1 provides formal guidelines by which the government will determine what...