An operational risk profile: the experience of British firms
Abstract:This study provides an analysis of 163 operational loss events experienced by a variety of British firms over the period 1999–2008. 10 different hypotheses are tested to examine the distribution of loss severity and frequency with respect to business line, event type and corporate entity type. We also test hypotheses on the relation between loss severity and the decline in the market value of the announcing firm and whether or not the decline in market value is greater if the loss results from internal fraud. The results indicate that loss severity does not depend on firm size, that the decline in market value bears no stable relation to the loss amount and that they decline in market value relative to the loss amount is positively related to firm size.
Document Type: Research Article
Affiliations: Department of Economics, Finance and Marketing,RMIT University, level 12, 239 Bourke StreetMelbourne 3001, Australia
Publication date: 2013-06-01