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Journal of Operational Risk最新文献

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A text analysis of operational risk loss descriptions 操作风险损失的文本分析描述
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2023-01-01 DOI: 10.21314/jop.2023.003
Davide Di Vincenzo, F. Greselin, Fabio Piacenza, R. Zitikis
{"title":"A text analysis of operational risk loss descriptions","authors":"Davide Di Vincenzo, F. Greselin, Fabio Piacenza, R. Zitikis","doi":"10.21314/jop.2023.003","DOIUrl":"https://doi.org/10.21314/jop.2023.003","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"61 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85632021","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Audit committee characteristics and the audit report lag in Greece 希腊审计委员会特点与审计报告滞后
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2023-01-01 DOI: 10.21314/jop.2022.032
Michail Nerantzidis, George Drogalas, T. Lazarides, Evangelos Chytis, D. Mitskinis
{"title":"Audit committee characteristics and the audit report lag in Greece","authors":"Michail Nerantzidis, George Drogalas, T. Lazarides, Evangelos Chytis, D. Mitskinis","doi":"10.21314/jop.2022.032","DOIUrl":"https://doi.org/10.21314/jop.2022.032","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"4 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79014600","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Changes in operational risk and its determinants under Covid-19 Covid-19下操作风险及其决定因素的变化
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2022-01-01 DOI: 10.21314/jop.2022.018
Zongrun Wang, Haiqin Fu, Ling Zhou
{"title":"Changes in operational risk and its determinants under Covid-19","authors":"Zongrun Wang, Haiqin Fu, Ling Zhou","doi":"10.21314/jop.2022.018","DOIUrl":"https://doi.org/10.21314/jop.2022.018","url":null,"abstract":"This examines the direct impact of the Covid-19 pandemic on the operational risk of Chinese commercial banks and the moderating effect of bank size, business diversification and regulatory records. To address the lack of data in operational risk studies, we gather financial statements on operational risk to obtain empirical proxy variables. We conduct an empirical study using 639 financial statements from 20 listed commercial banks in China from 2011 Q4 to 2021 Q3 and find that the Covid-19 pandemic has increased the operational risk of commercial banks. Moreover, business diversification, bank size and poor regulatory record significantly increase the operational risk effects of the pandemic. Finally, we test the robustness of our results, supporting our conclusions and providing new insights into the interaction between the Covid-19 pandemic and banks’ operational risk. © 2022 Infopro Digital Risk (IP) Limited.","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"20 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81242059","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Technology risk management in fintech: underlying mechanisms and challenges 金融科技的技术风险管理:潜在的机制和挑战
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2022-01-01 DOI: 10.21314/jop.2022.022
Xiaohui Chen, Hongwei Zhang, Lei Teng
{"title":"Technology risk management in fintech: underlying mechanisms and challenges","authors":"Xiaohui Chen, Hongwei Zhang, Lei Teng","doi":"10.21314/jop.2022.022","DOIUrl":"https://doi.org/10.21314/jop.2022.022","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"179 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88299342","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Modeling very large losses. II 模拟非常大的损失。2
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2022-01-01 DOI: 10.21314/jop.2022.030
H. Gzyl
{"title":"Modeling very large losses. II","authors":"H. Gzyl","doi":"10.21314/jop.2022.030","DOIUrl":"https://doi.org/10.21314/jop.2022.030","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"71 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80012416","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Revisiting the linkage between internal audit function characteristics and internal control quality 重新审视内部审计职能特征与内部控制质量之间的联系
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2022-01-01 DOI: 10.21314/jop.2021.015
Iakovos D. Michailidis, Kyriaki Alexandridou, Michail Nerantzidis, George Drogalas
{"title":"Revisiting the linkage between internal audit function characteristics and internal control quality","authors":"Iakovos D. Michailidis, Kyriaki Alexandridou, Michail Nerantzidis, George Drogalas","doi":"10.21314/jop.2021.015","DOIUrl":"https://doi.org/10.21314/jop.2021.015","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"1 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67707225","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Systemic operational risk in the Australian banking system: the Royal Commission 澳大利亚银行系统的系统性操作风险:皇家委员会
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2022-01-01 DOI: 10.21314/jop.2022.025
P. Mcconnell
{"title":"Systemic operational risk in the Australian banking system: the Royal Commission","authors":"P. Mcconnell","doi":"10.21314/jop.2022.025","DOIUrl":"https://doi.org/10.21314/jop.2022.025","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"5 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86927455","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Evaluation of backtesting on risk models based on data envelopment analysis 基于数据包络分析的风险模型回测评价
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2022-01-01 DOI: 10.21314/jop.2021.014
Grigorios Kontaxis, I. Tsolas
{"title":"Evaluation of backtesting on risk models based on data envelopment analysis","authors":"Grigorios Kontaxis, I. Tsolas","doi":"10.21314/jop.2021.014","DOIUrl":"https://doi.org/10.21314/jop.2021.014","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"1 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67707163","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Modeling multivariate operational losses via copula-based distributions with g-and-h marginals 通过基于copula的g和h边际分布建模多变量操作损失
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2022-01-01 DOI: 10.21314/jop.2021.016
M. Bee, J. Hambuckers
{"title":"Modeling multivariate operational losses via copula-based distributions with g-and-h marginals","authors":"M. Bee, J. Hambuckers","doi":"10.21314/jop.2021.016","DOIUrl":"https://doi.org/10.21314/jop.2021.016","url":null,"abstract":"We propose a family of copula-based multivariate distributions with g-and- h marginals. After studying the properties of the distribution, we develop a two-step estimation strategy and analyze via simulation the sampling distribution of the estimators. The methodology is used for the analysis of a 7-dimensional dataset containing 40,871 operational losses. The empirical evidence suggests that a distribution based on a single copula is not flexible enough, thus we model the dependence structure by means of vine copulas. We show that the approach based on regular vines improves the fit. Moreover, even though losses corresponding to different event types are found to be dependent, the assumption of perfect positive dependence is not supported by our analysis. As a result, the Value-at-Risk of the total operational loss distribution obtained from the copula- based technique is substantially smaller at high confidence levels, with respect to the one obtained using the common practice of summing the univariate Value-at-Risks.","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"1 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67707235","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
How does the pandemic change operational risk? Evidence from textual risk disclosures in financial reports 大流行如何改变业务风险?来自财务报告文本风险披露的证据
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2022-01-01 DOI: 10.21314/jop.2022.017
Yinghui Wang, Ya-Feng Chang, Jianping Li
{"title":"How does the pandemic change operational risk? Evidence from textual risk disclosures in financial reports","authors":"Yinghui Wang, Ya-Feng Chang, Jianping Li","doi":"10.21314/jop.2022.017","DOIUrl":"https://doi.org/10.21314/jop.2022.017","url":null,"abstract":"This paper studies how the Covid-19 pandemic changed the operational risk profiles of the financial industry. We find that the textual risk disclosures in financial reports contain abundant information on operational risk. A text mining method is introduced to analyze changes in operational risk in an innovative way based on a massive textual data set of financial institutions’ textual risk disclosures, which aggregates senior managers’ risk perceptions of the whole financial industry. Based on 4624 financial reports released by 1330 financial institutions from 2017 to 2020, this empirical study finds that operational risk remained the most prominent major risk type after the outbreak of Covid-19, and that disclosures of operational risk increased by 5.19% compared with the samples from before the outbreak. The drivers of operational risk also changed, with significant increases in disclosure of litigation risk, transaction modes and product and service problems as a proportion of total disclosures. In addition, two emerging operational risk drivers identified during the pandemic are data safeguarding and goodwill impairment. Our findings could help financial institutions and regulators to identify and manage the critical drivers of operational risk during a future pandemic. © 2022 Infopro Digital Risk (IP) Limited.","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"416 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79460602","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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