Operational and Cyber Risks in the Financial Sector

Iñaki Aldasoro, Leonardo Gambacorta, Paolo Giudici and Thomas Leach
Additional contact information
Paolo Giudici: University of Pavia
Thomas Leach: University of Pavia

International Journal of Central Banking, 2023, vol. 19, issue 5, 340-402

Abstract: We use a unique cross-country data set at the loss event level to document the evolution and characteristics of banks’ operational risk. Operational value-at-risk varies substantially—from 6 percent to 12 percent of total gross income—depending on the method used, and shows a growing cyber risk component. It takes, on average, more than a year for operational losses to be discovered and recognized in the books. We show that operational losses depend on macroeconomic conditions and the regulatory environment. Periods of excessively accommodative monetary policy are followed by larger operational losses. Stronger supervision is associated with lower operational losses.

JEL-codes: D5 D62 D82 G2 H41 (search for similar items in EconPapers)
Date: 2023
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Related works:
Working Paper: Operational and cyber risks in the financial sector (2020)
Working Paper: Operational and cyber risks in the financial sector (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:ijc:ijcjou:y:2023:q:5:a:8

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