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Cyclicality in catastrophic and operational risk measurements

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  • Allen, Linda
  • Bali, Turan G.

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  • Allen, Linda & Bali, Turan G., 2007. "Cyclicality in catastrophic and operational risk measurements," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1191-1235, April.
  • Handle: RePEc:eee:jbfina:v:31:y:2007:i:4:p:1191-1235
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    References listed on IDEAS

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    1. Turan G. Bali & Nusret Cakici & Xuemin (Sterling) Yan & Zhe Zhang, 2005. "Does Idiosyncratic Risk Really Matter?," Journal of Finance, American Finance Association, vol. 60(2), pages 905-929, April.
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    4. Bali, Turan G. & Neftci, Salih N., 2003. "Disturbing extremal behavior of spot rate dynamics," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 455-477, September.
    5. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    6. McDonald, James B. & Xu, Yexiao J., 1995. "A generalization of the beta distribution with applications," Journal of Econometrics, Elsevier, vol. 69(2), pages 427-428, October.
    7. Merton, Robert C, 1987. " A Simple Model of Capital Market Equilibrium with Incomplete Information," Journal of Finance, American Finance Association, vol. 42(3), pages 483-510, July.
    8. Anil K. Kashyap & Jeremy C. Stein, 2004. "Cyclical implications of the Basel II capital standards," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 18-31.
    9. Amit Goyal & Pedro Santa-Clara, 2003. "Idiosyncratic Risk Matters!," Journal of Finance, American Finance Association, vol. 58(3), pages 975-1008, June.
    10. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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    17. de Fontnouvelle, Patrick & Dejesus-Rueff, Virginia & Jordan, John S. & Rosengren, Eric S., 2006. "Capital and Risk: New Evidence on Implications of Large Operational Losses," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(7), pages 1819-1846, October.
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    26. François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, April.
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    Cited by:

    1. Chernobai, Anna & Yildirim, Yildiray, 2008. "The dynamics of operational loss clustering," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2655-2666, December.
    2. Garcia, René & Mantilla-García, Daniel & Martellini, Lionel, 2014. "A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(5-6), pages 1133-1165, December.
    3. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
    4. Calluzzo, Paul & Dong, Gang Nathan, 2015. "Has the financial system become safer after the crisis? The changing nature of financial institution risk," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 233-248.
    5. Zhou, Xiaoping & Durfee, Antonina V. & Fabozzi, Frank J., 2016. "On stability of operational risk estimates by LDA: From causes to approaches," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 266-278.
    6. Cope, Eric W. & Piche, Mark T. & Walter, John S., 2012. "Macroenvironmental determinants of operational loss severity," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1362-1380.
    7. Georges Dionne & Kili Wang, 2013. "Does insurance fraud in automobile theft insurance fluctuate with the business cycle?," Journal of Risk and Uncertainty, Springer, vol. 47(1), pages 67-92, August.
    8. Dahen, Hela & Dionne, Georges, 2010. "Scaling models for the severity and frequency of external operational loss data," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1484-1496, July.
    9. de Mendonça, Helder Ferreira & Galvão, Délio José Cordeiro & Loures, Renato Falci Villela, 2013. "Credit and bank opaqueness: How to avoid financial crises?," Economic Modelling, Elsevier, vol. 33(C), pages 605-612.
    10. Wagner, Stephan M. & Mizgier, Kamil J. & Papageorgiou, Stylianos, 2017. "Operational disruptions and business cycles," International Journal of Production Economics, Elsevier, vol. 183(PA), pages 66-78.
    11. Dominique Guegan & Bertrand K. Hassani, 2012. "Using a time series approach to correct serial correlation in Operational Risk capital calculation," Documents de travail du Centre d'Economie de la Sorbonne 12091r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised May 2013.
    12. Gillet, Roland & Hübner, Georges & Plunus, Séverine, 2010. "Operational risk and reputation in the financial industry," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 224-235, January.
    13. Mitra, Sovan & Karathanasopoulos, Andreas & Sermpinis, Georgios & Dunis, Christian & Hood, John, 2015. "Operational risk: Emerging markets, sectors and measurement," European Journal of Operational Research, Elsevier, vol. 241(1), pages 122-132.

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