Claudia Belloni is a quantitative risk analyst at UniCredit SpA. She works in the quant team in the Operational & Reputational Risk Advanced Analytics and Strategies unit. She has been working in UniCredit since 2014 after a brief experience as a consultant in Altran Italia S.p.A. She graduated in Mathematical Engineering, major in Statistics, at Politecnico di Milano in 2013, with a master thesis about Reputational Risk estimation models.
Standardized measurement approach extension to integrate insurance deduction into operational risk capital requirement
The SMA proposed in BCBS (2016) presents several issues: in particular, its two components are not sufficient to discriminate banking institutions by risk profile, thus penalizing the more virtuous ones. This paper describes a possible solution to extend…