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Scenario analysis in the measurement of operational risk capital: A change of measure approach
- Journal of Risk and Insurance
, 2014
"... Abstract At large financial institutions, operational risk is gaining the same importance as market and credit risk in the capital calculation. Although scenario analysis is an important tool for financial risk measurement, its use in the measurement of operational risk capital has been arbitrary a ..."
Abstract
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Cited by 2 (1 self)
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and often inaccurate. We propose a method that combines scenario analysis with historical loss data. Using the Change of Measure approach, we evaluate the impact of each scenario on the total estimate of operational risk capital. The method can be used in stress-testing, what-if assessment for scenario
A Service of zbw Policy analysis with incredible certitude
"... Standard-Nutzungsbedingungen: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, ..."
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regularly express certitude about the consequences of alternative policy choices. Yet policy predictions often are fragile, with conclusions resting on critical unsupported assumptions or leaps of logic. Then the certitude of policy analysis is not credible. I develop a typology of incredible analytical
ACKNOWLEDGMENTS
, 2011
"... First and foremost, I would like to thank my advisor, Prof. Jennifer E. Michaels. I am most appreciative of your guidance over the last four years, from the basics of elastic waves to both short- and long-term career advice. I have grown a tremendous amount, both profes-sionally and personally, and ..."
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First and foremost, I would like to thank my advisor, Prof. Jennifer E. Michaels. I am most appreciative of your guidance over the last four years, from the basics of elastic waves to both short- and long-term career advice. I have grown a tremendous amount, both profes-sionally and personally
von
, 2011
"... Diese Dissertation wurde vom Cuvillier Verlag Göttingen als Buch unter ISBN 978-3-95404-019-3 veröffentlicht (www.cuvillier.de). iContents ..."
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Diese Dissertation wurde vom Cuvillier Verlag Göttingen als Buch unter ISBN 978-3-95404-019-3 veröffentlicht (www.cuvillier.de). iContents
Routing and Broadcasting in Ad-Hoc Networks
"... I would like to thank Prof. Dr. Torsten Braun, head of the Computer Network and Distributed Systems group (RVS), for supervising this work and for his insightful advises. Prof. Dr. Torsten Braun encouraged and motivated me to publish my research results and he provided me the opportunity to present ..."
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group and of the IAM for our various interesting discussions about all kinds of topics and for making the institute a very pleasant and friendly place to work at. Special thanks go to David Steiner, Marc Steinemann, Matthias Scheidegger, Florian Baumgartner, Ruy De Oliveira, and Attila Weyland
Guaranteeing Communication Quality in Real World WSN Deployments
"... April 29, 2011Für UnsShe had never before seen a rabbit with either a waistcoat-pocket, or a watch to take out of it, and burning with curiosity, she ran across the field after it Lewis CarrollThe following document, written under the supervision of Dr. reviewed by: ..."
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April 29, 2011Für UnsShe had never before seen a rabbit with either a waistcoat-pocket, or a watch to take out of it, and burning with curiosity, she ran across the field after it Lewis CarrollThe following document, written under the supervision of Dr. reviewed by:
Active Mask Framework for Segmentation of Fluorescence Microscope Images
"... m]]l]]s¶D]]¿÷mB]iv]b]oD]m¶¨]iv]§]iv]r]j]t¿rv]]irj]]t]]m] / | ap]]r¿]ÎNy]s¶D]]mb¶r]ix} Û]Ix]]rd]mb]} p—N]t]o%ism] in]ty]m] / || Û]Is]¡uÎc]rN]]riv]nd]p]*N]m]st¶ I always bow to Śri ̄ Śāradāmbā, the limitless ocean of the nectar of compassion, who bears a rosary, a vessel of nectar, the symbol of ..."
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m]]l]]s¶D]]¿÷mB]iv]b]oD]m¶¨]iv]§]iv]r]j]t¿rv]]irj]]t]]m] / | ap]]r¿]ÎNy]s¶D]]mb¶r]ix} Û]Ix]]rd]mb]} p—N]t]o%ism] in]ty]m] / || Û]Is]¡uÎc]rN]]riv]nd]p]*N]m]st¶ I always bow to Śri ̄ Śāradāmbā, the limitless ocean of the nectar of compassion, who bears a rosary, a vessel of nectar, the symbol
Results 1 - 10
of
31