Suppose that there is a 1% probability that operational risk losses of a certain type exceed $10
Question:
Suppose that there is a 1% probability that operational risk losses of a certain type exceed $10 million. Use the power law to estimate the 99.97% worst-case operational risk loss when the parameter equals
(a) 0.25,
(b) 0.5,
(c) 0.9, and
(d) 1.0.
AppendixLO1
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