| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14418 |
| DP14418 Operational and cyber risks in the financial sector | |
| Iñaki Aldasoro; Leonardo Gambacorta; Giudici Paolo; Thomas Leach | |
| 发表日期 | 2020-02-18 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We use a unique cross-country dataset at the loss event level to document the evolution and characteristics of banks’ operational risk. After a spike following the great financial crisis, operational losses have declined in recent years. The spike is largely accounted for by losses due to improper business practices in large banks that occurred in the run-up to the crisis but were recognised only later. Operational value-at-risk can vary substantially – from 6% to 12% of total gross income – depending on the method used. It takes, on average, more than a year for operational losses to be discovered and recognised in the books. However, there is significant heterogeneity across regions and event types. For instance, improper business practices and internal fraud events take longer to be discovered. Operational losses are not independent of macroeconomic conditions and regulatory characteristics. In particular, we show that credit booms and periods of excessively accommodative monetary policy are followed by larger operational losses. Better supervision, on the other hand, is associated with lower operational losses. We provide an estimate of losses due to cyber events, a subset of operational loss events. Cyber losses are a small fraction of total operational losses, but can account for a significant share of total operational value-at-risk. |
| 主题 | Financial Economics |
| 关键词 | Operational risks Financial institutions Cyber risks Time to discovery Value-at-risk |
| URL | https://cepr.org/publications/dp14418 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543312 |
| 推荐引用方式 GB/T 7714 | Iñaki Aldasoro,Leonardo Gambacorta,Giudici Paolo,et al. DP14418 Operational and cyber risks in the financial sector. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
