U.S. Banking Sector Operational Losses and the Macroeconomic Environment
利用美国大型银行控股公司的监管数据，研究发现宏观经济恶化时运营损失增加，主要源于尾部事件的频率和严重性上升，且对客户义务或产品设计相关的损失尤为反周期。
Abstract Using supervisory data from large U.S. bank holding companies (BHCs), we find that BHCs incur more operational losses in adverse macroeconomic conditions driven significantly by the higher frequency and severity of tail events. Among different operational risk types, we find that losses from BHCs' failure to meet obligations to clients or from the design of their products are particularly countercyclical. We also show that larger and more leveraged BHCs have a higher macroeconomic sensitivity of operational risk. Overall, our findings provide new evidence regarding U.S. banking organizations' exposure to macroeconomic shocks with implications for risk management practices and supervisory policy.