Measurement of operational risk regulatory capital in the banking sector: Developed countries versus emerging markets
Author's Department
Economics Department
Second Author's Department
Economics Department
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https://doi.org/10.21314/JOP.2020.250
Document Type
Research Article
Publication Title
Journal of Operational Risk
Publication Date
1-1-2021
doi
10.21314/JOP.2020.250
Abstract
This paper addresses operational risk as a fundamental risk type faced by banks in emerging and developed economies. We explore several models to specify the marginal and joint distributions of the types of operational losses that reflect loss frequencies and severity distribution(s), using international data published by a group of banks from developed and emerging economies. Our results reveal that a uniform approach to model operational risk in both types of economy may lead to the overestimation or underestimation of capital losses in banks. This could result in opportunity costs of holding excessive capital to mitigate operational losses, or in extra costs resulting from an underestimation of the capital required.
First Page
13
Last Page
43
Recommended Citation
APA Citation
Hassanein, M.
Bouaddi, M.
&
Karim, T.
(2021). Measurement of operational risk regulatory capital in the banking sector: Developed countries versus emerging markets. Journal of Operational Risk, 16(1), 13–43.
10.21314/JOP.2020.250
https://fount.aucegypt.edu/faculty_journal_articles/2621
MLA Citation
Hassanein, Medhat A., et al.
"Measurement of operational risk regulatory capital in the banking sector: Developed countries versus emerging markets." Journal of Operational Risk, vol. 16,no. 1, 2021, pp. 13–43.
https://fount.aucegypt.edu/faculty_journal_articles/2621