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Giulio Mignola
Intesa Sanpaolo
5Publications
3H-index
93Citations
Publications 5
Newest
#1Giulio Mignola (Intesa Sanpaolo)H-Index: 3
#2Roberto Ugoccioni (Intesa Sanpaolo)H-Index: 3
Last.Eric Cope (Credit Suisse)H-Index: 1
view all 3 authors...
On March 4, 2016, the Basel Committee on Banking Supervision published a consultative document in which a new methodology, the standardized measurement approach (SMA), was introduced for computing operational risk regulatory capital for banks. In this paper, the behavior of the SMA is studied under a variety of hypothetical and realistic conditions, showing that the simplicity of the new approach is very costly in some ways. We find that the SMA does not respond appropriately to changes in the r...
2 CitationsSource
#1Giulio MignolaH-Index: 3
#2Roberto UgoccioniH-Index: 3
Last.Eric CopeH-Index: 8
view all 3 authors...
On March 4th 2016 the Basel Committee on Banking Supervision published a consultative document where a new methodology, called the Standardized Measurement Approach (SMA), is introduced for computing Operational Risk regulatory capital for banks. In this note, the behavior of the SMA is studied under a variety of hypothetical and realistic conditions, showing that the simplicity of the new approach is very costly on other aspects: we find that the SMA does not respond appropriately to changes in...
1 Citations
#1Eric CopeH-Index: 8
#2Giulio MignolaH-Index: 3
Last.Roberto UgoccioniH-Index: 3
view all 4 authors...
41 CitationsSource
16 CitationsSource
Operational risk quantification techniques have been rapidly evolving since the first attempts in early 2000, when it appeared clear that this kind of risk would attract a specific capital requirement in the new prudential regulation. The basic component of most models developed by the industry is historical (or scenario) loss data. The modeling techniques used to obtain the risk measures are generally well developed and understood. In this work, assuming a simple but rigorous modeling framework...
33 CitationsSource
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