Kabir Dutta

CRA International

Principal

200 Clarendon Street, T-33

Boston, MA 02116

United States

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

2

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Top 17,067

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2,933

SSRN CITATIONS
Rank 12,431

SSRN RANKINGS

Top 12,431

in Total Papers Citations

12

CROSSREF CITATIONS

65

Scholarly Papers (2)

1.

A Tale of Tails: An Empirical Analysis of Loss Distribution Models for Estimating Operational Risk Capital

FRB of Boston Working Paper No. 06-13
Number of pages: 93 Posted: 26 Jul 2006
Kabir Dutta and Jason Perry
CRA International and affiliation not provided to SSRN
Downloads 2,081 (7,086)
Citation 91

Abstract:

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exploratory data analysis, operational risk, g-and-h distribution, goodness-of-fit, skewness-kurtosis, risk measurement, extreme value theory, peak-over-threshold method, generalized Pareto distribution, truncated lognormal distribution, loglogistic distribution

Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach

Number of pages: 28 Posted: 07 Mar 2010 Last Revised: 23 Oct 2012
Kabir Dutta and David F. Babbel
CRA International and University of Pennsylvania - The Wharton School - Finance and Insurance Departments
Downloads 851 (28,094)
Citation 4

Abstract:

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Scenario Analysis, Operational Risk Capital, Stress Testing, Change of Measure, Loss Data Modeling, Basel Capital Accord

Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach

Journal of Risk and Insurance, Vol. 81, Issue 2, pp. 303-334, 2014
Number of pages: 32 Posted: 17 May 2014
Kabir Dutta and David F. Babbel
CRA International and University of Pennsylvania - The Wharton School - Finance and Insurance Departments
Downloads 1 (708,902)
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