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Operational Risk: The Sting is Still in the Tail But the Poison Dependson the Dose

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  • Andreas Jobst

Abstract

This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from inadequate or failed internal processes and information systems, from misconduct by people or from unforeseen external events. Our analysis informs an integrated assessment of the quantification of operational risk exposure and the consistency of current capital rules on operational risk based on generalized parametric estimation.

Suggested Citation

  • Andreas Jobst, 2007. "Operational Risk: The Sting is Still in the Tail But the Poison Dependson the Dose," IMF Working Papers 2007/239, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2007/239
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    1. Patrick de Fontnouvelle & Eric Rosengren & John Jordan, 2007. "Implications of Alternative Operational Risk Modeling Techniques," NBER Chapters, in: The Risks of Financial Institutions, pages 475-505, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Imad Moosa, 2012. "Basel 2.5: A lot of sizzle but little nutritional value," Journal of Banking Regulation, Palgrave Macmillan, vol. 13(4), pages 320-335, November.
    2. International Monetary Fund, 2011. "United Kingdom: Stress Testing the Banking Sector Technical Note," IMF Staff Country Reports 2011/227, International Monetary Fund.
    3. International Monetary Fund, 2010. "United States: Publication of Financial Sector Assessment Program Documentation: Technical Note on Stress Testing," IMF Staff Country Reports 2010/244, International Monetary Fund.
    4. 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.
    5. International Monetary Fund, 2013. "Belgium: Technical Note on Stress Testing the Banking and Insurance Sectors," IMF Staff Country Reports 2013/137, International Monetary Fund.
    6. Tawei Wang & Karthik N. Kannan & Jackie Rees Ulmer, 2013. "The Association Between the Disclosure and the Realization of Information Security Risk Factors," Information Systems Research, INFORMS, vol. 24(2), pages 201-218, June.
    7. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
    8. Allen N. Berger & Filippo Curti & Nika Lazaryan & Atanas Mihov & Raluca A. Roman, 2023. "Climate Risks in the U.S. Banking Sector: Evidence from Operational Losses and Extreme Storms," Working Papers 21-31, Federal Reserve Bank of Philadelphia.
    9. Francesco Paolo Natale, 2008. "Optimisation in the presence of tail-dependence and tail risk: A heuristic approach for strategic asset allocation," Journal of Asset Management, Palgrave Macmillan, vol. 8(6), pages 374-400, February.
    10. Xie, Zhuang, 2018. "Research Of Operatinoal Risk Management And Its Determinants: An Analysis Of Hua Xia Bank In China," MPRA Paper 90568, University Library of Munich, Germany.
    11. International Monetary Fund, 2011. "Sweden: Financial Sector Assessment Program Update: Technical Note on Contingent Claims Analysis Approach to Measure Risk and Stress Test the Swedish Banking Sector," IMF Staff Country Reports 2011/286, International Monetary Fund.
    12. Jobst, Andreas A., 2014. "Measuring systemic risk-adjusted liquidity (SRL)—A model approach," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 270-287.
    13. 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).
    14. Chatterjee, Somnath & Jobst, Andreas, 2019. "Market-implied systemic risk and shadow capital adequacy," Bank of England working papers 823, Bank of England.
    15. Kah Chon, Ooi, 2019. "Impacts Of Firm-Specific Factors And Macroeconomic Factors Against Microsoft’S Performance," MPRA Paper 97254, University Library of Munich, Germany, revised 15 Nov 2019.
    16. Sonia Benito & Carmen López-Martín & Mª Ángeles Navarro, 2023. "Assessing the importance of the choice threshold in quantifying market risk under the POT approach (EVT)," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-31, March.
    17. Gualter Couto & Kevin Medeiros Bulhões, 2009. "Basel II: operation risk measurement in the Portuguese banking sector," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(3), pages 259-278.
    18. Benjamin Collier & Ani L. Katchova & Jerry R. Skees, 2011. "Loan portfolio performance and El Niño, an intervention analysis," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 71(1), pages 98-119, May.
    19. Andreas Jobst & Mr. Dale F Gray, 2013. "Systemic Contingent Claims Analysis: Estimating Market-Implied Systemic Risk," IMF Working Papers 2013/054, International Monetary Fund.
    20. International Monetary Fund, 2014. "People’s Republic of China–Hong Kong Special Administrative Region: Financial Sector Assessment Program-Stress Testing the Banking Sector-Technical Note," IMF Staff Country Reports 2014/210, International Monetary Fund.
    21. W. Scott Frame & Ping McLemore & Atanas Mihov, 2020. "Haste Makes Waste: Banking Organization Growth and Operational Risk," Working Papers 2023, Federal Reserve Bank of Dallas.
    22. Andreas A. Jobst, 2007. "It's all in the data – consistent operational risk measurement and regulation," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 15(4), pages 423-449, November.
    23. Mora Valencia Andrés, 2014. "El uso de la distribución g-h en riesgo operativo," Contaduría y Administración, Accounting and Management, vol. 59(1), pages 123-148, enero-mar.
    24. International Monetary Fund, 2011. "Germany: Technical Note on Stress Testing," IMF Staff Country Reports 2011/371, International Monetary Fund.
    25. Jobst, Andreas A., 2013. "Multivariate dependence of implied volatilities from equity options as measure of systemic risk," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 112-129.

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