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AZAMAT ABDYMOMUNOV FILIPPO CURTI ATANAS MIHOV 《Journal of Money, Credit and Banking》2020,52(1):115-144
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. 相似文献
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