Journal of Operational Risk
ISSN:
1744-6740 (print)
1755-2710 (online)
Editor-in-chief: Marcelo Cruz
About this journal
In December 2017, the Basel Committee published the final version of its standardized measurement approach (SMA) methodology, which will replace the approaches set out in Basel II (ie, the simpler standardized approaches and advanced measurement approach (AMA) that allowed use of internal models) from January 1, 2022. Independently of the Basel III rules, in order to manage and mitigate risks, they still need to be measurable by anyone. The operational risk industry needs to keep that in mind.
While the purpose of the now defunct AMA was to find out the level of regulatory capital to protect a firm against operational risks, we still can – and should – use models to estimate operational risk economic capital. Without these, the task of managing and mitigating capital would be incredibly difficult. These internal models are now unshackled from regulatory requirements and can be optimized for managing the daily risks to which financial institutions are exposed. In addition, operational risk models can and should be used for stress tests and Comprehensive Capital Analysis and Review (CCAR).
The Journal of Operational Risk also welcomes papers on nonfinancial risks as well as topics including, but not limited to, the following.
- The modeling and management of operational risk.
- Recent advances in techniques used to model operational risk, eg, copulas, correlation, aggregate loss distributions, Bayesian methods and extreme value theory.
- The pricing and hedging of operational risk and/or any risk transfer techniques.
- Data modeling external loss data, business control factors and scenario analysis.
- Models used to aggregate different types of data.
- Causal models that link key risk indicators and macroeconomic factors to operational losses.
- Regulatory issues, such as Basel II or any other local regulatory issue.
- Enterprise risk management.
- Cyber risk.
- Big data.
Abstracting and Indexing: Scopus; Web of Science - Social Science Index; EconLit; Econbiz; and Cabell’s Directory
Journal Metrics:
Impact Factor: 0.394
5-Year Impact Factor: 0.519
CiteScore: 0.53
Latest papers
How does the pandemic change operational risk? Evidence from textual risk disclosures in financial reports
The authors investigate changes in operational risk profiles of the financial industry following the Covid-19 pandemic.
Modeling systemic operational risk in the Covid-19 pandemic
This paper introduces existing and novel epidemiology models and investigates how government responses to the Covid-19 pandemic impacted these models.
Changes in operational risk and its determinants under Covid-19
The authors investigate the operational risk impact of the Covid-19 pandemic on Chinese commercial banks and the moderating effect of bank size, business diversification and regulatory records.
How climate change may impact operational risk
This paper uses the ten laws of operational risk along with taxonomies for inadequacies or failures and their impacts, and it also draws parallels with past crises, in order to make systematic predictions.
Correlations in operational risk stress testing: use and abuse
The paper presents an analysis of correlation effects of economic factors on the operational risk losses of a medium-large UK retail bank, and it recommends that causal factors that effect operational risk should be identified.
The status of people risk management in UK banks
This paper examines how people risk is managed in banks using interview data obtained from operational risk management experts working in the UK banking sector.
Technology risk management in fintech: underlying mechanisms and challenges
This study focuses on the foundational technology of fintech to address the challenges posed by its specific form of risk.
Preventing the unpleasant: fraudulent financial statement detection using financial ratios
In this paper, the authors investigate financial fraud in companies listed on the Athens Stock Exchange during the period 2008–18 and propose a model to detect fraudulent financial statements.
Revisiting the linkage between internal audit function characteristics and internal control quality
This paper revisits the linkage between internal audit function characteristics and internal control quality and proposes a random polynomial model for assessing ICQ.
Evaluation of backtesting on risk models based on data envelopment analysis
In this study, different value-at-risk models, which are used to measure market risk, are analyzed under different estimation approaches and backtested with an alternative strategy.
Modeling multivariate operational losses via copula-based distributions with g-and-h marginals
In this paper, the authors propose a family of copula-based multivariate distributions with g-and-h marginals.
Extreme value theory for operational risk in insurance: a case study
This study aims to test the sufficiency of the solvency capital requirement approach for calculating operational risk using the standard formula as defined in Solvency II.
Enterprise risk management and firm performance: evidence from Malaysian nonfinancial firms
The role of management accounting practices in operational risk management: the case of Palestinian commercial banks
This paper follows an exploratory, descriptive approach to investigate the role that management accounting practices plays in managing operational risks in the Palestinian commercial banking sector.
Fighting Covid-19 in countries and operational risk in banks: similarities in risk management processes
This paper shows how banks managing operational risk and countries tackling Covid-19 could learn from each other to overcome obstacles in effectively mitigating major risks.
Risk disclosures in annual reports: the role of nonfinancial companies listed on the Athens stock exchange
This study analyzes the risks disclosed by all nonfinancial companies listed on the Athens stock exchange by undertaking content analysis of their annual reports during the period 2005–11.
Nonhomogeneous bivariate compound Poisson process with short-term periodicity
This paper presents new results on the nonhomogeneous bivariate compound Poisson process with a short-term periodic intensity function.
Ex-intrusion corporate cyber risk: evidence from internet protocol networks
This study examines IP address footprints as a proxy for cyber risks in public firms.
Key impact deep dive (KIDD)
This paper proposes a KIDD (key impact deep dive) approach for assessing extreme risks based on assessing key impact types.
On modeling contagion in the formation of operational risk loss
This paper models an overall operational risk loss caused by the accumulation of intermediate losses incurred at each process via a mechanism of network contagion across distinct processes within the boundary of a bank.
