Suren Pakhchanyan, C. Fieberg, Daniel Metko, Thomas Kaspereit
{"title":"Machine learning for categorization of operational risk events using textual description","authors":"Suren Pakhchanyan, C. Fieberg, Daniel Metko, Thomas Kaspereit","doi":"10.21314/jop.2022.026","DOIUrl":"https://doi.org/10.21314/jop.2022.026","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"60 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75172510","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Previous event studies of corporate cyber-risk have been limited to successful attacks on public firms but are biased samples constructed based on the economic magnitude of equity losses. To address this selection bias, we construct a larger and more representative sample of cyber intrusions only to find diminished negative equity (and insignificant corporate bond) market reactions compared to these prior studies. To identify cyber-risk irrespective of observing successful attacks, we match public firms to Internet protocol (IP) network data from the American Registry for Internet Numbers (ARIN) from 1991 to 2017. We find that both stockholders and creditors incorporate external IP network size into firm value. Further, debt and equity market reactions to cyberattacks are mitigated for firms with registered IP networks and that have larger network deployments. Overall, our study demonstrates an important public data source that can help institutions proxy for and more accurately price firm cybersecurity risk.
{"title":"Ex-intrusion corporate cyber risk: evidence from internet protocol networks","authors":"Bill Francis, Wenyao Hu, Thomas D. Shohfi","doi":"10.21314/jop.2021.007","DOIUrl":"https://doi.org/10.21314/jop.2021.007","url":null,"abstract":"Previous event studies of corporate cyber-risk have been limited to successful attacks on public firms but are biased samples constructed based on the economic magnitude of equity losses. To address this selection bias, we construct a larger and more representative sample of cyber intrusions only to find diminished negative equity (and insignificant corporate bond) market reactions compared to these prior studies. To identify cyber-risk irrespective of observing successful attacks, we match public firms to Internet protocol (IP) network data from the American Registry for Internet Numbers (ARIN) from 1991 to 2017. We find that both stockholders and creditors incorporate external IP network size into firm value. Further, debt and equity market reactions to cyberattacks are mitigated for firms with registered IP networks and that have larger network deployments. Overall, our study demonstrates an important public data source that can help institutions proxy for and more accurately price firm cybersecurity risk.","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"1 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2021-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42642400","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"On modeling contagion in the formation of operational risk loss","authors":"Xiang Gao, Zhan Wang","doi":"10.21314/jop.2021.003","DOIUrl":"https://doi.org/10.21314/jop.2021.003","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":" ","pages":""},"PeriodicalIF":0.5,"publicationDate":"2021-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43765830","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Bank supervision: lessons from the post-2008 banking crisis","authors":"J. Quick","doi":"10.21314/JOP.2020.251","DOIUrl":"https://doi.org/10.21314/JOP.2020.251","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"56 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2021-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75347780","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Banks have been building, refining and applying operational risk management (including considerations for, but so far not focusing on, pandemics) for more than 20 years. Countries have been dealing with the Covid-19 pandemic for more than a year at the time of writing. Both approaches have a lot of similarities. These encompass the full risk management process: from risk strategy and data collection to modeling and decision-making. Both disciplines could learn from each other to overcome obstacles in effectively mitigating major risks, among them future pandemics.
{"title":"Fighting Covid-19 in countries and operational risk in banks: similarities in risk management processes","authors":"Thomas Kaiser","doi":"10.21314/jop.2021.010","DOIUrl":"https://doi.org/10.21314/jop.2021.010","url":null,"abstract":"Banks have been building, refining and applying operational risk management (including considerations for, but so far not focusing on, pandemics) for more than 20 years. Countries have been dealing with the Covid-19 pandemic for more than a year at the time of writing. Both approaches have a lot of similarities. These encompass the full risk management process: from risk strategy and data collection to modeling and decision-making. Both disciplines could learn from each other to overcome obstacles in effectively mitigating major risks, among them future pandemics.","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"1 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67707051","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Nonhomogeneous bivariate compound Poisson process with short-term periodicity","authors":"Ali Sakhaei,Parviz Nasiri","doi":"10.21314/jop.2021.005","DOIUrl":"https://doi.org/10.21314/jop.2021.005","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"192 2","pages":""},"PeriodicalIF":0.5,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138507762","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Regulatory arbitrage in the use of insurance in the new standardized approach for operational risk capital","authors":"Marco Migueis","doi":"10.21314/jop.2020.25","DOIUrl":"https://doi.org/10.21314/jop.2020.25","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"144 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138543226","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：