The Impact on Operational Risk: An Analysis on Macroeconomic, Governance and Firm-Level Determinants

Detalhes bibliográficos
Autor(a) principal: Barros, Mariana Castro
Data de Publicação: 2022
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/141913
Resumo: Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
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spelling The Impact on Operational Risk: An Analysis on Macroeconomic, Governance and Firm-Level DeterminantsOperational RiskPanel DataMacroeconomic ImpactGovernance and Firm DeterminantsDissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and ManagementFinancial institutions and organizations in general face risks every day that threat the stability of the business. An effective Operational Risk management is essential to mitigate, monitor and manage any negative effect or significant impact that can cause uncertainty in financial markets. Among the various risks financial institutions face, most top managers argue that Credit Risk has more impact on an organization, however Operational Risk is also considered the most important type of risk because they can lead to the destruction of a business and is present in every organization. The purpose of this dissertation is to investigate, assess and analyse firm and country specific factors as determinants of operational loss severity. The goal is to increase knowledge regarding Operational Risk, investigate the determinants that explain differences in Operational Risk losses and simultaneously test and validate some of the key findings of previous research. The study deals with 2306 operational loss events from SAS OpRisk database. Events occurred between 2000 and 2020 in European financial firms. The empirical research was conducted by using panel data regression analysis which includes truncation and two-ways fixed effects. The results of this study suggest that operational loss events tend to be more severe during economic downturn, which predominate the high unemployment rate, inflation and interest rate. The results indicate that operational losses are linked with governance indicates, being positively related with rule of law and negatively related with regulatory quality. The findings also found firm specific variables to be insignificantly linked with operational risk losses, with the exception of the size of the firm. We find evidence of significant correlation between Internal Fraud and inflation rate. External Fraud losses show a significant relation with regulatory quality, return on equity and assets. Execution, Delivery and Product Management events indicate a strong relationship with the size of the firm. It is also shown that Clients, Products and Business Practices and Employment Practices and Workplace Safety events are sensitive to macroeconomic and governance indicators.Gonçalves, Rui Alexandre HenriquesDamásio, Bruno Miguel PintoRUNBarros, Mariana Castro2022-07-15T10:22:40Z2022-05-112022-05-11T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/141913TID:203038878enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:19:14Zoai:run.unl.pt:10362/141913Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:50:05.317491Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The Impact on Operational Risk: An Analysis on Macroeconomic, Governance and Firm-Level Determinants
title The Impact on Operational Risk: An Analysis on Macroeconomic, Governance and Firm-Level Determinants
spellingShingle The Impact on Operational Risk: An Analysis on Macroeconomic, Governance and Firm-Level Determinants
Barros, Mariana Castro
Operational Risk
Panel Data
Macroeconomic Impact
Governance and Firm Determinants
title_short The Impact on Operational Risk: An Analysis on Macroeconomic, Governance and Firm-Level Determinants
title_full The Impact on Operational Risk: An Analysis on Macroeconomic, Governance and Firm-Level Determinants
title_fullStr The Impact on Operational Risk: An Analysis on Macroeconomic, Governance and Firm-Level Determinants
title_full_unstemmed The Impact on Operational Risk: An Analysis on Macroeconomic, Governance and Firm-Level Determinants
title_sort The Impact on Operational Risk: An Analysis on Macroeconomic, Governance and Firm-Level Determinants
author Barros, Mariana Castro
author_facet Barros, Mariana Castro
author_role author
dc.contributor.none.fl_str_mv Gonçalves, Rui Alexandre Henriques
Damásio, Bruno Miguel Pinto
RUN
dc.contributor.author.fl_str_mv Barros, Mariana Castro
dc.subject.por.fl_str_mv Operational Risk
Panel Data
Macroeconomic Impact
Governance and Firm Determinants
topic Operational Risk
Panel Data
Macroeconomic Impact
Governance and Firm Determinants
description Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
publishDate 2022
dc.date.none.fl_str_mv 2022-07-15T10:22:40Z
2022-05-11
2022-05-11T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/141913
TID:203038878
url http://hdl.handle.net/10362/141913
identifier_str_mv TID:203038878
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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