The correlation of operational risk with economic scenarios

Marcelo Cruz highlights the problems that can arise when analysing the relationship between operational risk and macroeconomic factors


Since the Lehman Brothers collapse and financial crisis in 2008, regulators, investors, lawmakers and the public in general have repeatedly demanded that banks prove their financial health, particularly in a stressed economic environment. US and European regulators have established a more formal procedure, which periodically requires banks to stress test their capital base given a certain scenario. This scenario is expressed in macroeconomic factors and financial indicators, and regulators

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