Claudia Belloni

UniCredit SpA

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.

Articles by Claudia Belloni

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