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Integrated Risk Measurement Approach: A Case Study

In: Measuring and Managing Operational Risk

Author

Listed:
  • Vitantonio Matarazzo

    (BancoPosta)

  • Mario Vellella

    (BancoPosta)

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.

Suggested Citation

  • Vitantonio Matarazzo & Mario Vellella, 2018. "Integrated Risk Measurement Approach: A Case Study," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Paola Leone & Pasqualina Porretta & Mario Vellella (ed.), Measuring and Managing Operational Risk, chapter 0, pages 145-181, Palgrave Macmillan.
    • Handle: RePEc:pal:pmschp:978-3-319-69410-8_4
    DOI: 10.1007/978-3-319-69410-8_4
    as

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