Mizgier, Kamil J. and Wimmer, Maximilian (2018) Incorporating single and multiple losses in operational risk: a multi-period perspective. JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 69 (3). pp. 358-371. ISSN 0160-5682, 1476-9360
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Operational disruptions can have serious repercussions for firms over extended periods of time. In this work, we develop a multi-period model of operational risk. We define the loss process of operational disruptions as a sum of events triggering single and multiple losses. We empirically validate our approach using an extensive dataset of operational disruptions experienced by firms from the financial services and manufacturing industry sectors. The results of our simulations point out that operational risk is significantly underestimated if the events leading to multiple losses are not accounted for in the firms' long-term capital planning.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | COHERENT MEASURES; AVERSE; MANAGEMENT; MODELS; LDA; Risk management; multi-period risk modeling; operational risk |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 20 Mar 2020 12:00 |
| Last Modified: | 20 Mar 2020 12:00 |
| URI: | https://pred.uni-regensburg.de/id/eprint/15413 |
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