 An analysis of operational risk events in US and European Banks 2008–2014Yifei Li, Neil Allan and John Evans Annals of Actuarial Science, 2017, vol. 11, issue 2, 315-342 Abstract: This paper explores the characteristics of 2,141 operational risk events amongst European (EU) and US banks over the period 2008–2014. We have analysed the operational risk events using a method originating in biology for the study of interrelatedness of characteristics in a complex adaptive system. The methodology, called cladistics, provides insights into the relationships between characteristics of operational risk events in banks that is not available from the traditional statistical analysis. We have used cladistics to explore if there are consistent patterns of operational risk characteristics across banks in single and different geographic zones. One significant pattern emerged which indicates there are key, stable characteristics across both geographic zones and across banks in each zone. The results identify the characteristics that could then be managed by the banks to reduce operational risk losses. We also have analysed separately the characteristics of operational risk events for “big” banks and extreme events and these results indicate that big banks and small banks have similar key operational risk characteristics, but the characteristics of extreme operational risk events are different to those for the non-extreme events. Date: 2017 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:cup:anacsi:v:11:y:2017:i:02:p:315-342_00 Access Statistics for this article More articles in Annals of Actuarial Science from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK. |
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