Capital and Risk: New Evidence on Implications of Large Operational Losses
利用新获得的损失数据，对国际活跃银行的操作风险建模，发现操作风险所需资本常超过市场风险，大型银行可能需分配数十亿美元资本。
Operational risk is currently receiving significant media attention, as financial scandals have appeared regularly and multiple events have exceeded one billion dollars in impact. Regulators have also been devoting attention to this risk and are finalizing proposals that would require banks to hold capital for potential operational losses. This paper uses newly available loss data to model operational risk at internationally active banks. Our results suggest that the amount of capital held for operational risk will often exceed capital held for market risk and that the largest banks could choose to allocate several billion dollars in capital to operational risk.