Understanding the economic determinants of the severity of operational losses: A regularized generalized Pareto regression approach
理解操作损失严重程度的经济决定因素：正则化广义帕累托回归方法
Summary 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 macroeconomic, financial, and firm‐specific 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…