Fabio Piacenza is a senior quantitative analyst at UniCredit in the Operational Risk Analytics and Oversight unit. He has been working in UniCredit since 2002. He graduated in mathematics in 2001 and, currently, he is a Statistics Ph.D. student at the University of Milano Bicocca. He taught in R courses of the Master of Quantitative Finance and Risk Management at Bocconi University from 2016 to 2022. He was a speaker in several meetings on operational risk, R, and statistics topics. He is author (or co-author) of about 10 peer-reviewed publications on operational risk topics.
The authors put forward a workflow for using text analysis to identify underlying risks in operational risk event descriptions.
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…
The aim of this paper is to integrate prior information into a robust parameter estimation via OBR-estimating functions.