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dc.contributor.authorAllen, Linda-
dc.contributor.authorBali, Turan G.-
dc.date.accessioned2008-05-26T18:19:27Z-
dc.date.available2008-05-26T18:19:27Z-
dc.date.issued2004-09-
dc.identifier.urihttp://hdl.handle.net/2451/26526-
dc.description.abstractUsing equity returns for financial institutions we estimate both catastrophic and operational risk measures over the period 1973-2003. We find evidence of cyclical components in both the catastrophic and operational risk measures obtained from the Generalized Pareto Distribution and the Skewed Generalized Error Distribution. Our new, comprehensive approach to measuring operational risk shows that approximately 18% of financial institutions’ returns represent compensation for operational risk. However, depository institutions are exposed to operational risk levels that average 39% of the overall equity risk premium. Moreover, operational risk events are more likely to be the cause of large unexpected catastrophic losses, although when they occur, the losses are smaller than those resulting from a combination of market risk, credit risk or other risk events.en
dc.language.isoen_USen
dc.relation.ispartofseriesFIN-04-019en
dc.subjectoperational risken
dc.subjectcatastrophic risken
dc.subjectvalue at risken
dc.subjectextreme value theoryen
dc.subjectskewed fat tailed distributionen
dc.titleCyclicality in Catastrophic and Operational Risk Measurementsen
dc.typeWorking Paperen
Appears in Collections:Finance Working Papers

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