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Regular version of the site

Article

History of the World Largest Credit Risk Losses in 1972–2018

HSE Economic Journal. 2020. Vol. 24. No. 1. P. 9-27.

We study the world largest credit risk losses from the year of 1972 when the predecessor of the Basel Committee on Banking Supervision was established. By choosing a round threshold of current USD 100m equivalent of loss amount and the entity total assets in excess of current USD 500m as of the loss announcement date, we collected the dataset of 56 cases with the total loss of the current USD 700bn (or ca. 900 constant 2018 USD bn) which occurred during the last half of a century. The two most unexpected findings are the following. First, we verified the announced loss amounts by analysis of stock quotes dynamics around the loss announcement dates. Thus we were able to trace three cases where announced by mass media losses may seem to have been exaggerated. Second, there is a series of events when there was a disclosure combination of credit risk loss and operational one. It seems the latter might have been used to partially cover the former.