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Giulio Mignola
Intesa Sanpaolo
5Publications
3H-index
72Citations
Publications 5
Newest
Published on Sep 1, 2016in Journal of Operational Risk 0.73
Giulio Mignola3
Estimated H-index: 3
(Intesa Sanpaolo),
Roberto Ugoccioni3
Estimated H-index: 3
(Intesa Sanpaolo),
Eric Cope1
Estimated H-index: 1
(Credit Suisse)
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...
Published on Jul 1, 2016in arXiv: Risk Management
Giulio Mignola3
Estimated H-index: 3
,
Roberto Ugoccioni3
Estimated H-index: 3
,
Eric Cope8
Estimated H-index: 8
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...
Published on Dec 1, 2009in Journal of Operational Risk 0.73
Eric Cope8
Estimated H-index: 8
,
Giulio Mignola3
Estimated H-index: 3
+ 1 AuthorsRoberto Ugoccioni3
Estimated H-index: 3
Published on Jan 1, 2006in Journal of Operational Risk 0.73
Giulio Mignola3
Estimated H-index: 3
,
Roberto Ugoccioni3
Estimated H-index: 3
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...
1