Booms, Busts, and Fraud

Povel, Paul; Singh, Rajdeep; Winton, Andrew

doi:10.1093/revfin/hhm012

Cited by 249 publications

(93 citation statements)

References 15 publications

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“…The sign of this coefficient indicates that when the size of the transactions (here flows of deposits) increases, the size of the related losses increases as well, in particular the extreme ones. A similar effect has been discovered for internal frauds by Povel et al [2007]. Our result is also consistent with Cope et al [2012] who found a positive effect of GDP per capita on expected size of EFRAUD losses 18 .…”

Section: Economic Interpretation Of the Dependence Structuresupporting

confidence: 91%

Understanding the economic determinants of the severity of operational losses: A regularized generalized Pareto regression approach

Hambuckers

Groll

Kneib

2018

J of Applied Econometrics

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We investigate a novel database of 10,217 extreme operational losses from the Italian bank UniCredit. Our goal is to shed light on the dependence between the severity distribution of these losses and a set of a set of macroeconomic, financial and firmspecific factors. To do so, we use Generalized Pareto regression techniques, where both the scale and shape parameters are assumed to be functions of these explanatory variables. We perform the selection of the relevant covariates with a state-of-the-art penalized-likelihood estimation procedure relying on L 1 -penalty terms. A simulation study indicates that this approach efficiently selects covariates of interest and tackles spurious regression issues encountered when dealing with integrated time series. Lastly, we illustrate the impact of different economic scenarios on the requested capital for operational risk. Our results have important implications in terms of risk management and regulatory policy.

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Section: Economic Interpretation Of the Dependence Structuresupporting

confidence: 91%

Understanding the economic determinants of the severity of operational losses: A regularized generalized Pareto regression approach

Hambuckers

Groll

Kneib

2018

J of Applied Econometrics

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show abstract

“…Underemployment of production factors can act to reduce the absolute return to that factor, regardless of the size of the economy, and can have social consequences that extend beyond the production function and can manifest themselves in high levels of fraud and other criminal activities. However, on the other hand, Povel et al (2007) show that firms have higher incentives to commit fraud during economic boom times, which may imply higher severity of fraud during periods of low unemployment. Botero et al (2004) note that high unemployment rates often correlate with high levels of labor protection.…”

Section: Macroeconomic Indicatorsmentioning

confidence: 95%

Macroenvironmental determinants of operational loss severity

Cope

Piche

Walter

2012

Journal of Banking & Finance

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“…Overinvesting and acquisitions can occur even when the manager does not realize the overvaluation, either because he has strong hubris (Roll, 1986), he is overconfident (Malmendier and Tate, 2005), or he is overly optimistic (Heaton, 2002). In this situation, the manager believes that the high stock 3 See Baker and Wurgler (2002), Shleifer and Vishny (2003), Polk and Sapienza (2004), RKRV (2005), and Povel et al (2007). 4 Evidence of misvaluation is voluminous although much of the evidence is from large sample studies whose results are often subject to debate because of methodological issues (e.g., see Fama, 1998;Loughran and Ritter, 2000;and Mitchell and Stafford, 2000).…”

Section: Introductionmentioning

confidence: 99%