Scenario analysis workstream from RiskBusiness
MEASUREMENT ADVANCES
Many op risk industry observers have notes that scenario analysis is the 'new black' in their discipline. Many firms attempting the advanced measurement approach under Basel II initially focused on the loss distribution approach, which involves modelling op risk capital requirements using data on loss events collected from internal and external sources. Others concentrated on self-assessments, as part of an enhanced audit-based framework, and this was part of the reason for the success of the
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