Integrated Risk Measurement Approach: A Case Study

Vitantonio Matarazzo () and Mario Vellella ()
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Vitantonio Matarazzo: BancoPosta
Mario Vellella: BancoPosta

Chapter Chapter 4 in Measuring and Managing Operational Risk, 2018, pp 145-181 from Palgrave Macmillan

Abstract: Abstract This chapter aims to provide an overview of the main components of an operational risk measurement framework developed by financial intermediaries for which operational risk is more important. This methodology integrates a historical analysis with a scenario analysis. This chapter describes the loss data collection, the assumption and the statistical tools used in the implemented approach. It also describes the methods used to integrate the Expected Lossess (EL) and the Unexpected Lossess (UL) resulting from the two different analyses.

Keywords: Risk mapping; Extreme value theory; Loss distribution approach; Scenario analysis; Data integration (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:pal:pmschp:978-3-319-69410-8_4

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DOI: 10.1007/978-3-319-69410-8_4

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