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Tail Dependence and Systemic Risk in Operational Losses of the US Banking Industry

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  • Weidong Tian
  • Azamat Abdymomunov
  • Ibrahim Ergen

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  • Weidong Tian & Azamat Abdymomunov & Ibrahim Ergen, 2017. "Tail Dependence and Systemic Risk in Operational Losses of the US Banking Industry," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 177-204, June.
    • Handle: RePEc:bla:irvfin:v:17:y:2017:i:2:p:177-204
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    File URL: http://hdl.handle.net/10.1111/irfi.12117
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    References listed on IDEAS

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    1. Genest, Christian & Rémillard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.
    2. Cummins, J. David & Lewis, Christopher M. & Wei, Ran, 2006. "The market value impact of operational loss events for US banks and insurers," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2605-2634, October.
    3. Balla, Eliana & Ergen, Ibrahim & Migueis, Marco, 2014. "Tail dependence and indicators of systemic risk for large US depositories," Journal of Financial Stability, Elsevier, vol. 15(C), pages 195-209.
    4. Battiston, Stefano & Delli Gatti, Domenico & Gallegati, Mauro & Greenwald, Bruce & Stiglitz, Joseph E., 2012. "Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1121-1141.
    5. Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012. "Econometric measures of connectedness and systemic risk in the finance and insurance sectors," Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
    6. Huang, Xin & Zhou, Hao & Zhu, Haibin, 2012. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Journal of Financial Stability, Elsevier, vol. 8(3), pages 193-205.
    7. Xin Huang & Hao Zhou & Haibin Zhu, 2012. "Systemic Risk Contributions," Journal of Financial Services Research, Springer;Western Finance Association, vol. 42(1), pages 55-83, October.
    8. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
    9. Azamat Abdymomunov & Filippo Curti & Atanas Mihov, 2020. "U.S. Banking Sector Operational Losses and the Macroeconomic Environment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(1), pages 115-144, February.
    10. Arnold, Bruce & Borio, Claudio & Ellis, Luci & Moshirian, Fariborz, 2012. "Systemic risk, macroprudential policy frameworks, monitoring financial systems and the evolution of capital adequacy," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3125-3132.
    11. Patro, Dilip K. & Qi, Min & Sun, Xian, 2013. "A simple indicator of systemic risk," Journal of Financial Stability, Elsevier, vol. 9(1), pages 105-116.
    12. Linda Allen & Turan G. Bali & Yi Tang, 2012. "Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?," The Review of Financial Studies, Society for Financial Studies, vol. 25(10), pages 3000-3036.
    13. Ser-Huang Poon, 2004. "Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications," The Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 581-610.
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    Cited by:

    1. Berger, Allen N. & Curti, Filippo & Mihov, Atanas & Sedunov, John, 2022. "Operational Risk is More Systemic than You Think: Evidence from U.S. Bank Holding Companies," Journal of Banking & Finance, Elsevier, vol. 143(C).
    2. Mohamed Habachi & Saâd Benbachir, 2020. "The Bayesian Approach to Capital Allocation at Operational Risk: A Combination of Statistical Data and Expert Opinion," IJFS, MDPI, vol. 8(1), pages 1-25, February.
    3. Filippo Curti & Marco Migueis & Rob T. Stewart, 2019. "Benchmarking Operational Risk Stress Testing Models," Finance and Economics Discussion Series 2019-038, Board of Governors of the Federal Reserve System (U.S.).

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