Leading Operational Risk Events For South African Banks: A Reputational Risk Perspective

Reputational Effects of Operational Risk Events for Financial Institutions

This paper aims at measuring reputational effects for financial institutions by examining a firm’s stock price reaction to the announcement of particular operational loss events such as internal frauds. We conduct at this purpose an event study analysis of the impact of operational loss events on the market values of banks and insurance companies, using the OpVar database (OpData dataset suppli...

Modeling the operational risk in Iranian commercial banks: case study of a private bank

The Basel Committee on Banking Supervision from the Bank for International Settlement classifies banking risks into three main categories including credit risk, market risk, and operational risk. The focus of this study is on the operational risk measurement in Iranian banks. Therefore, issues arising when trying to implement operational risk models in Iran are discussed, and ...

Effects Of Risk Parameters (Credit, Operational, Liquidity And Market Risk) On Banking System Efficiency (Studying 15 Top Banks In Iran)

Financial Sector Integration and Information Spillovers: Effects of Operational Risk Events on U.S. Banks and Insurers

This paper conducts an event study analysis of the market value impact of operational loss events on non-announcing firms in the U.S. banking and insurance industries. We seek evidence of negative or positive information spillovers, i.e., that operational risk events have negative effects on stock prices of non-announcing firms or lead to wealth transfers from announcing to nonannouncing firms....

Modeling the yearly Value-at-Risk for operational risk in Chinese commercial banks

In this paper, we explore the loss data collection exercise for operational risk in Chinese commercial banks from 1999 to first half of 2006. Firstly, the above data are bootstrapped to analyze the capital allocation for a medium-scaled commercial bank in China. Secondly, for every selected cell, we calibrate two truncated distributions to fit the loss severity, one for ‘normal’ losses and the ...