Showing 1 - 9 of 9
Persistent link: https://www.econbiz.de/10014282949
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....
Persistent link: https://www.econbiz.de/10012904204
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...
Persistent link: https://www.econbiz.de/10012907031
The 2004 Basel II accord requires internationally active banks to hold regulatory capital for operational risk, and the Federal Reserve's Comprehensive Capital Analysis and Review (CCAR) requires banks to project operational risk losses under stressed scenarios. As a result, banks subject to...
Persistent link: https://www.econbiz.de/10012936428
The 2004 Basel II accord requires internationally active banks to hold regulatory capital for operational risk, and the Federal Reserve's Comprehensive Capital Analysis and Review (CCAR) requires banks to project operational risk losses under stressed scenarios. As a result, banks subject to...
Persistent link: https://www.econbiz.de/10013210440
Persistent link: https://www.econbiz.de/10012230715
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...
Persistent link: https://www.econbiz.de/10012181176
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...
Persistent link: https://www.econbiz.de/10014235874
Persistent link: https://www.econbiz.de/10014445463