risk types within banks. The median of these correlations for the key operational risk types is around 30% and exceeds 50 … correlations among tail losses results in the significant underestimation of operational risk. In addition, we investigate … of data. This finding suggests the presence of systemic risk from the simultaneous occurrence of operational tail losses …

This study documents the association between the quality of risk management practices and operational loss realizations … risk management practices experience higher and more volatile operational losses. We document the drivers of this … relationship across different operational risk event types and risk management dimensions. In addition, we present evidence that …

This paper analyzes banks' capital and risk-based capital (RBC) ratios as predictors of risk. Using quarterly data on U … market-based indicators of risk. Although both the capital and RBC ratios are statistically significant predictors of BHCs …' levels of risk, we find the capital ratio is a statistically significantly better predictor of risk than the RBC ratio. This …

How does business complexity affect risk management in financial institutions? The commonly used risk measures rely on … answering this question. Balance-sheet measures, such as return on assets, capture the risk when it is realized, while empirical … identification requires knowledge of the risk when it is actually taken. Market-based measures, such as bond yields, not only ignore …

known about how complexity affects banks' risk management. Using the 1996-1999 deregulations of U.S. banks' nonbanking … activities as a natural experiment, we show that banks' business complexity increases their operational risk. This result is … offsets benefits of strategic risk taking …

This research aims to investigate the influence of bank capital, risk-based capital and bank capital buffers on the … behaviour of bank risk-taking by applying GMM on the data of US commercial banks ranges from 2002 to 2018. The findings show … that bank capital has a positive influence on total risk. However, risk-based capital and capital buffer have a negative …

Basel III regulation intent is to increase the resiliency of banks through effective risk management practices that can … reduce significant idiosyncratic operational losses. A systemic risk event that leads to significant losses in a bank holding … are evident in human error, fraud, and legal expenses that are aligned to systemic operational risk. The occurrences of …

We examine the impact of the U.S. withdrawal from the Paris Agreement on the relationship between climate risk and … systemic risk of U.S. global banks. We find that after 2017, investors stopped pricing climate risk into U.S. systemic risk … directly, consistent with domestic investors expecting climate risk deregulation. However, climate risk still indirectly …

-runnable long-term debt, even if investors are able to gauge the relevant risk of PSI in a bank’s failure correctly at the time of … purchase, subsequent adjustment of MREL-prescriptions by competent or resolution authorities potentially change the risk … predictable PSI: it is hardly conceivable that the pricing of MREL-instruments reflects an accurate risk-assessment of investors …