IDEAS home Printed from
   My bibliography  Save this article

La misurazione integrata dei rischi bancari: uno studio simulativo


  • Annalisa Di Clemente


Financial Risk Aggregation: A Simulative Study - Banks are exposed to many different risk types due to their business activities, such as credit risk, market risk and operational risk. The task of the risk management division is to measure all these risks and to determine the necessary amount of economic capital which is needed as a buffer to absorb unexpected loss associated with each of these risks. In this paper, four approaches are compared with respect to their ability to measure the total banking capital correctly. We find that the traditional approach variance-covariance (N-VaR) significantly underestimates economic capital. The additive approach (Add-VaR) overestimates total risk when risk correlations are less than one. The hybrid method (H-VaR), which combines marginal risks using a formula, is more accurate and tracks the advanced model based on Monte Carlo simulation (MCS) and copula quite well, especially when the risks exhibit very high correlations. The top-down approach based on MCS and Gaussian copula (MCS-copula) is adequate to form a joint distribution from specified marginals in an internally consistent and realistic manner while preserving important properties about the individual risks (asymmetry and fat tails). This comparative study has been realized utilizing simulative data about to credit, market and operational losses. With refer to risk correlations, we have used both simulative values and mean "empirical" values deducted from international accredited studies.

Suggested Citation

  • Annalisa Di Clemente, 2009. "La misurazione integrata dei rischi bancari: uno studio simulativo," STUDI ECONOMICI, FrancoAngeli Editore, vol. 0(99), pages 75-103.
  • Handle: RePEc:fan:steste:v:html10.3280/ste2009-099003

    Download full text from publisher

    File URL:
    Download Restriction: Single articles can be downloaded buying download credits, for info:

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    JEL classification:

    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fan:steste:v:html10.3280/ste2009-099003. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angelo Ventriglia). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.