One of the main challenges that banks face in modeling operational risk is the instability of risk estimates caused by heavy-tailed and insufficient loss data. To address these issues, we propose a loss scaling method to combine a bank's internal loss data with external loss data of other banks....

The Federal Reserve's Comprehensive Capital Analysis and Review (CCAR) requires large bank holding companies (BHCs) to project losses under stress scenarios. In this paper, we propose multiple benchmarks for operational loss projections and document the industry distribution relative to these...

Using supervisory data from large U.S. bank holding companies (BHCs), we document that BHCs suffer more operational losses during episodes of extreme storms. Among different operational loss types, losses due to external fraud, BHCs' failure to meet obligations to clients and faulty business...