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12-01-2018

Operational Loss Data Collection: A Literature Review

Authors: Lu Wei, Jianping Li, Xiaoqian Zhu

Published in: Annals of Data Science | Issue 3/2018

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Abstract

This paper is the first to provide a comprehensive overview of the worldwide operational loss data collection exercises (LDCEs) of internal loss, external loss, scenario analysis and business environment and internal control factors (BEICFs). Based on analyzing operational risk-related articles from 2002 to March 2017 and surveying a large amount of other information, various sources of operational risk data are classified into five types, i.e. individual banks, regulatory authorities, consortia of financial institutions, commercial vendors and researchers. Then by reviewing operational risk databases from these five data sources, we summarized and described 32 internal databases, 26 external databases, 7 scenario databases and 1 BEICFs database. We also find that compared with developing countries, developed countries have performed relatively better in operational risk LDCEs. Besides, the two subjective data elements of scenario analysis and BEICFs are less used than the two objective data elements of internal and external loss data in operational risk estimation.

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Title: Operational Loss Data Collection: A Literature Review
Authors: Lu Wei
Jianping Li
Xiaoqian Zhu
Publication date: 12-01-2018
Publisher: Springer Berlin Heidelberg
Published in: Annals of Data Science / Issue 3/2018
Print ISSN: 2198-5804
Electronic ISSN: 2198-5812
DOI: https://doi.org/10.1007/s40745-018-0139-2

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