Journal of Operational Risk

Risk.net

The impact of the financial crisis on operational risk in the financial services industry: empirical evidence

Christian Hess

ABSTRACT

The aim of this paper is to analyze operational risk in the context of the 2007-9 financial crisis. The world's largest repository of information on publicly reported operational losses, SAS OpRisk Global Data, was chosen as the underlying dataset. We find a significant impact on the riskiness of the loss severity for the trading and sales and retail brokerage business lines (BLs) due to the financial crisis. Losses from investment banks caused by the market failure of auction rate securities are responsible for this result. Thus, we compute a 150% higher valueat- risk (VaR) for the BL trading and sales and a 50% higher VaR for the BL retail brokerage when considering the financial crisis data. However, the other BLs are not affected by the financial crisis.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: