Cyclicality in catastrophic and operational risk measurements

被引：51

作者：

Allen, Linda ^{[1
]}

Bali, Turan G. ^{[1
]}

机构：

[1] CUNY Bernard M Baruch Coll, Dept Econ & Finance, Zicklin Sch Business, New York, NY 10010 USA

来源：

JOURNAL OF BANKING & FINANCE | 2007年 / 31卷 / 04期

关键词：

operational risk; catastrophic risk; value at risk; extreme value theory; skewed fat-tailed distribution;

D O I：

10.1016/j.jbankfin.2006.10.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using equity returns for financial institutions we estimate both catastrophic and operational risk measures over the period 1973-2003. We find evidence of cyclical components in both the catastrophic and operational risk measures obtained from the generalized Pareto distribution and the skewed generalized error distribution. Our new, comprehensive approach to measuring operational risk shows that approximately 18% of financial institutions' returns represent compensation for operational risk. However, depository institutions are exposed to operational risk levels that average 39% of the overall equity risk premium. Moreover, operational risk events are more likely to be the cause of large unexpected catastrophic losses, although when they occur, the losses are smaller than those resulting from a combination of market risk, credit risk or other risk events. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：1191 / 1235

页数：45