Fabio Piacenza

UniCredit S.p.A

Fabio Piacenza is a senior quantitative analyst at UniCredit SpA. He is leading the quant team in the Operational & Reputational Risk Advanced Analytics and Strategies unit. He has been working in UniCredit since 2002. He graduated in mathematics in 2001. He is author and reviewer of several articles on operational risk topics. He has been an invited speaker at several operational risk, statistics and R programming language related events. He holds courses on R programming language in the Master of Quantitative Finance and Risk Management at Bocconi University (Milan).

Articles by Fabio Piacenza

Original research

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…

28 Nov 2017

Original research

Optimal B-robust posterior distributions for operational risk

The aim of this paper is to integrate prior information into a robust parameter estimation via OBR-estimating functions.

14 Nov 2016

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