Integrated Risk Measurement Approach: A Case Study

  • Vitantonio MatarazzoEmail author
  • Mario Vellella
Part of the Palgrave Macmillan Studies in Banking and Financial Institutions book series (SBFI)


This chapter aims to provide an overview of the main components of an operational risk measurement framework developed by financial intermediaries for which operational risk is more important. This methodology integrates a historical analysis with a scenario analysis. This chapter describes the loss data collection, the assumption and the statistical tools used in the implemented approach. It also describes the methods used to integrate the Expected Lossess (EL) and the Unexpected Lossess (UL) resulting from the two different analyses.


Risk mapping Extreme value theory Loss distribution approach Scenario analysis Data integration 


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Copyright information

© The Author(s) 2018

Authors and Affiliations

  1. 1.Poste ItalianeBancoPostaRomeItaly

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