Question
Suppose that there is a 4.5% probability that operational risk losses of a certain type exceed $15 million. Use the power law with parameter equal
Suppose that there is a 4.5% probability that operational risk losses of a certain type exceed $15 million. Use the power law with parameter equal to 1.50.
a. What is the probability of losses exceeding $19 million?
%
Round your answer to two decimals.
b. What is the worst-case loss at 93% confidence level?
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The Oxford Handbook Of Quantitative Asset Management
Authors: Bernd Scherer, Kenneth Winston
1st Edition
0199553432, 978-0199553433
