G2TT
来源类型Discussion paper
规范类型论文
来源IDDP14418
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
URLhttps://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.
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