Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach
提出一种将情景分析与历史损失数据结合的方法，通过测度变换评估每个情景对操作风险资本总估计的影响，可用于压力测试和信用评估中的违约损失率估计。
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 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 analysis, and Loss Given Default estimates used in credit evaluations.