دانلود مقاله ISI انگلیسی شماره 50041
ترجمه فارسی عنوان مقاله

ادوارى در اندازه گیری ریسک فاجعه بار و عملیاتی

عنوان انگلیسی
Cyclicality in catastrophic and operational risk measurements
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
50041 2007 45 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Banking & Finance, Volume 31, Issue 4, April 2007, Pages 1191–1235

ترجمه کلمات کلیدی
ریسک عملیاتی - خطر فاجعه بار - ارزش در معرض خطر - نظریه ارزش افراطی - توزیع دنبه دار اریب
کلمات کلیدی انگلیسی
G20; C13Operational risk; Catastrophic risk; Value at risk; Extreme value theory; Skewed fat-tailed distribution
پیش نمایش مقاله
پیش نمایش مقاله  ادوارى در اندازه گیری ریسک فاجعه بار و عملیاتی

چکیده انگلیسی

Using equity returns for financial institutions we estimate both catastrophic and operational risk measures over the period 1973–2003. We find evidence of cyclical components in both the catastrophic and operational risk measures obtained from the generalized Pareto distribution and the skewed generalized error distribution. Our new, comprehensive approach to measuring operational risk shows that approximately 18% of financial institutions’ returns represent compensation for operational risk. However, depository institutions are exposed to operational risk levels that average 39% of the overall equity risk premium. Moreover, operational risk events are more likely to be the cause of large unexpected catastrophic losses, although when they occur, the losses are smaller than those resulting from a combination of market risk, credit risk or other risk events.