Marco Moscadelli

Bank of Italy - Banking and Finance Supervision Department

Officer

Via Nazionale, 187

00184 Roma

Italy

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Scholarly Papers (1)

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The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee

Number of pages: 74 Posted: 30 Jul 2004
Marco Moscadelli
Bank of Italy - Banking and Finance Supervision Department
Downloads 3,947 (3,058)
Citation 101

Abstract:

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operational risk, heavy tails, conventional inference, Extreme Value Theory, Peaks Over Threshold, median shortfall, Point Process of exceedances, capital charge, Business Line, Gross Income, regulatory coefficients