  Measuring operational risk in financial institutionsPlunus, Séverine  ; Hübner, Georges ; Peters, Jean-Philippe in Applied Financial Economics (2012), 22(18), 1553-1569 The scarcity of internal loss databases tends to hinder the use of the advanced approaches for operational risk measurement (Advanced Measurement Approaches (AMA)) in financial institutions. As there is a ... [more ▼] The scarcity of internal loss databases tends to hinder the use of the advanced approaches for operational risk measurement (Advanced Measurement Approaches (AMA)) in financial institutions. As there is a greater variety in credit risk modelling, this article explores the applicability of a modified version of CreditRisk+ to operational loss data. Our adapted model, OpRisk+, works out very satisfying Values-at-Risk (VaR) at 95% level as compared with estimates drawn from sophisticated AMA models. OpRisk+ proves to be especially worthy in the case of small samples, where more complex methods cannot be applied. OpRisk+ could therefore be used to fit the body of the distribution of operational losses up to the 95%-percentile, while Extreme Value Theory (EVT), external databases or scenario analysis should be used beyond this quantile. [less ▲] Detailed reference viewed: 27 (2 ULg)Reputational damage of operational loss on the bond market: Evidence from the financial industryPlunus, Séverine ; ; Hübner, Georges in International Review of Financial Analysis (2012), 24 We examine bond market reactions to the announcement of operational losses by financial companies. Thanks to the fact the corporate debt is senior to equity, we interpret the cumulated abnormal returns on ... [more ▼] We examine bond market reactions to the announcement of operational losses by financial companies. Thanks to the fact the corporate debt is senior to equity, we interpret the cumulated abnormal returns on the bond market of the companies having suffered those losses as a pure reputational impact of operational loss announcements. For a given operational loss, bond returns might be affected at up to three different periods: at the first press release date, when the company recognizes the loss itself and at the settlement date. These impacts hold stronger than for common stocks. We also study the effect of investors' knowledge of the loss amount, and show that the type of operational event and the proportion of the loss in the firm's market value influence the effect of the loss announcement. Cross-sectional analysis indicates that the abnormal return is mostly affected by market-based characteristics for the first press release date, while firm-related characteristics largely affect bond returns upon loss recognition. [less ▲] Detailed reference viewed: 24 (3 ULg) Measuring operational risk in financial institutionsPlunus, Séverine ; Hübner, Georges ; Peters, Jean-Philippe in Applied Financial Economics (2012), 22(18), 1553-1569 The scarcity of internal loss databases tends to hinder the use of the advanced approaches for operational risk measurement (Advanced Measurement Approaches (AMA)) in financial institutions. As there is a ... [more ▼] The scarcity of internal loss databases tends to hinder the use of the advanced approaches for operational risk measurement (Advanced Measurement Approaches (AMA)) in financial institutions. As there is a greater variety in credit risk modelling, this article explores the applicability of a modified version of CreditRisk+ to operational loss data. Our adapted model, OpRisk+, works out very satisfying Values-at-Risk (VaR) at 95% level as compared with estimates drawn from sophisticated AMA models. OpRisk+ proves to be especially worthy in the case of small samples, where more complex methods cannot be applied. OpRisk+ could therefore be used to fit the body of the distribution of operational losses up to the 95%-percentile, while Extreme Value Theory (EVT), external databases or scenario analysis should be used beyond this quantile. [less ▲] Detailed reference viewed: 22 (2 ULg) How to Asess a Manager Recovery Skill?Sougné, Danielle ; Bodson, Laurent ; Plunus, Séverine et alScientific conference (2010, October 21) Detailed reference viewed: 4 (0 ULg)Operational Risk and Reputation in the Financial Industry; Hübner, Georges ; Plunus, Séverine in Journal of Banking and Finance (2010), 34 By examining stock market reactions to the announcement of operational losses by financial companies, this paper attempts to disentangle operational losses from reputational damage. Our analysis deals ... [more ▼] By examining stock market reactions to the announcement of operational losses by financial companies, this paper attempts to disentangle operational losses from reputational damage. Our analysis deals with 154 events coming from the FIRST database of OpVantage. Events occurred between 1990 and 2004 in companies belonging to the financial sector and that are listed on the major European and US Stock Exchanges. Results show significant, negative abnormal returns at the announcement date of the loss, along with an increase in the volumes of trade. In cases of internal fraud, the loss in market value is greater that the operational loss amount announced, which is interpreted as a sign of reputational damage. Negative impact is proportionally greater when the loss amount represents a larger share in the company’s net profit. [less ▲] Detailed reference viewed: 75 (3 ULg)Application de CreditRisk+ au risque opérationnelPlunus, Séverine ; Hübner, Georges ; in Chapelle, Ariane; Hübner, Georges; Peters, Jean-Philippe (Eds.) Le risque opérationnel (2005) Detailed reference viewed: 108 (3 ULg)Modèles de risque créditPlunus, Séverine in Chapelle; Hübner, Georges; Peters, Jean-Philippe (Eds.) Le risque opérationnel (2005) Detailed reference viewed: 58 (7 ULg) |
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