On Monday 18 April Dr. Artemis Stratopoulou participated at the 6th International Conference on Applied Theory, Macro and Empirical Finance (AMEF) held at the Department of Economics, University of Macedonia, Thessaloniki, Greece and presented her work: “The Effectiveness of Macroprudential Policies in Curbing Operational Risk Exposures“.
Below the abstract of this study:
Credit and market risks are now well understood and under better control, however banks’ focus nowadays shifts to Non-Financial Risks (NFRs). An important question arising therefore is whether and to what degree an extensively used tool like macroprudential instruments, designed to enhance financial system resilience, can mitigate, or magnify losses stemming from such risks. In this study, I provide insights to this topic by using a panel dataset on Eurozone countries between 2015q2 -2019q4 and I examine the dynamic path of operational risk exposures in response to tightening and loosening events of macroprudential policies. The key finding is that implementation of tightening episodes of Other macroprudential policies (e.g., stress testing measures) provides significant evidence that operational losses reduce. On the contrary, implementation of countercyclical capital buffers and other capital requirements are not considered effective tools since they result in increases of operational risk exposures.