Systemic operational risk

Abstract

Purpose The aim of this paper is to study the information content of operational loss events occurring at European financial institutions with respect to the announcing bank’s industry rivals from an equity investor’s perspective. Design/methodology/approach The authors conduct an event study to identify spillover effects of operational loss events using the Carhart (1997) four-factor model as a benchmark model. In addition, they conduct multiple regression analyses to investigate the extent to which firm-specific factors or the market environment affect abnormal returns. Findings They observe significant negative abnormal returns following operational loss announcements exceeding € 50 million for both the announcing firms and their competitors. In addition, they find that stock market reactions occur only within a very small event window around the announcement date, indicating a high degree of market efficiency. Finally, abnormal returns tend to be insignificant for smaller loss amounts. Originality/value While operational risk is often believed to be strictly firm-specific, the results show that large operational risk events are not purely idiosyncratic; rather, they are systemic in the sense that they have contagious effects on non-event banks. Thus, the authors shed new light on how operational risk affects equity investors’ investment behaviour in an opaque and highly interconnected banking market.

Operational Risk Management in Financial Institutions: An Overview

“…Also, our reliance on information technology may lead to the major transforming of risk. Kaspereit et al. (2017) aimed to study the content of information on operational loss events occurring in European financial institutions, with competitors from the banking sector declared from the perspective of equity investors.…”

Evidências Do Isomorfismo Na Gestão De Riscos Operacionais Em Instituições Financeiras Que Atuam No Brasil

“…porém não deu continuidade na divulgação nos anos seguintes. Verifica-se que as categorias relativas a processos trabalhistas, fraudes externas e as decorrentes de práticas de negócio e falhas de processos são as mais significativas, como visto na Tabela 4: A falta de regularidade na divulgação das perdas operacionais pelas IFs ou o uso de diferentes agrupamentos (anual ou trimestral) têm como consequência o menor disclosure e a supressão de informações relevantes que podem interferir na tomada de decisões dos stakeholders (Kaspereit, et al, 2017;Morais, et al, 2018).…”

“…O resultado da pesquisa sobre as categorias do isomorfismo coercitivo confirma este fato. Em um movimento posterior, nota-se a incorporação da estrutura de GRO nos processos da empresa e a busca por melhorias e pela excelência torna-se um diferencial competitivo, uma vez que as informações são divulgadas ao público de forma compilada e organizada, permitindo comparações e maior conhecimento para a tomada de decisão dos stakeholders (Kaspereit, et al, 2017;Morais, et al, 2018).…”

“…Outros analisaram o isomorfismo no contexto da gestão de riscos operacionais em IF´s (Arhenful, Yeboah & Tackie, 2019;Caussat, Prime & Wilken, 2019;Chaudurry, 2010;Eastburn & Sharland, 2017;Ferreira & Dickason-Koekmoer, 2019;Kaspereit, Lopatta, Pakhchanyan & Prokop, 2017;Kelliher, et al, 2016;Lu, Guo, Liu & Xing, 2013;Martínez & Armenteros, 2017;Melo & Leitão, 2018;Morais, rt al., 2018;Nascimento, Klann, Pereira & Fernandes, 2019;Nobanne & Ellili, 2017;Oliveira & Soares, 2018;Pakhchanyan, 2016;Peters, Chapelle & Panayi, 2016;Power, 2003;Rahim, Ahmed & Faeeq, 2018;Schneider & Souza, 2017;Schwartz-Gâliste, 2013;Venard & Hanafi, 2008;Wang, Shi & Zhu, 2016;Neu, Ocampo Gomez, Ponce de León & Flores Zepeda, 2002).…”

Process-Event Approach for Operational Risk Estimation

“…Since events have a different nature, there are difficulties in the formalized description and modeling of operational risk. The problem of assessment and management of operational risk is one of the most difficult problems in risk management [2][3][4].…”