Fabio Piacenza

UniCredit S.p.A.

Piazza Gae Aulenti 3

Milan, 20154

Italy

SCHOLARLY PAPERS

2

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2

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0

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3

Scholarly Papers (2)

1.

Standardized Measurement Approach Extension to Integrate Insurance Deduction into Operational Risk Capital Requirement

Journal of Operational Risk, Vol. 12, No. 4, 2017
Number of pages: 20 Posted: 29 Nov 2017
Fabio Piacenza and Claudia Belloni
UniCredit S.p.A. and UniCredit S.p.A.
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Abstract:

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advanced measurement approach (AMA), insurance, loss distribution approach, operational risk, standardized measurement approach (SMA)

2.

Optimal B-Robust Posterior Distributions for Operational Risk

Journal of Operational Risk, Forthcoming
Number of pages: 20 Posted: 14 Nov 2016
UniCredit Business Integrated Solutions S.C.p.A., UniCredit S.p.A., University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
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Abstract:

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advanced measurement approach (AMA), approximate Bayesian computation (ABC), loss distribution approach, operational risk, robust posterior distribution, unbiased estimating function