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Our goal is to shed light on the dependence between the severity distribution of these losses and a set of macroeconomic, financial, and firm\u2010specific 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\u2010of\u2010the\u2010art penalized\u2010likelihood estimation procedure relying on<jats:italic>L<\/jats:italic><jats:sub>1<\/jats:sub>\u2010penalty 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.<\/jats:p>","DOI":"10.1002\/jae.2638","type":"journal-article","created":{"date-parts":[[2018,6,19]],"date-time":"2018-06-19T20:47:03Z","timestamp":1529441223000},"page":"898-935","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":30,"title":["Understanding the economic determinants of the severity of operational losses: A regularized generalized Pareto regression approach"],"prefix":"10.1002","volume":"33","author":[{"given":"Julien","family":"Hambuckers","sequence":"first","affiliation":[{"name":"Chair of Statistics Georg\u2010August\u2010Universit\u00e4t G\u00f6ttingen G\u00f6ttingen Germany"},{"name":"Center for Quantitative Methods and Operation management, HEC Management School University of Li\u00e8ge Li\u00e8ge Belgium"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Andreas","family":"Groll","sequence":"additional","affiliation":[{"name":"Chair of Statistics Georg\u2010August\u2010Universit\u00e4t G\u00f6ttingen G\u00f6ttingen Germany"},{"name":"Faculty of Statistics Technische Universit\u00e4t Dortmund 44221 Dortmund Germany"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Thomas","family":"Kneib","sequence":"additional","affiliation":[{"name":"Chair of Statistics Georg\u2010August\u2010Universit\u00e4t G\u00f6ttingen G\u00f6ttingen Germany"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2018,6,19]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.21314\/JOP.2007.020"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176996548"},{"key":"e_1_2_10_4_1","unstructured":"BCBS(2004).Basel II: International Convergence of Capital Measurement and Capital Standards. 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