On December 2017, the Basel Committee published the "Basel III: Finalising post-crisis reforms" (also known as Basel IV) that introduces the Standardised Measurement Approach (SMA) to define the Pillar I operational risk capital requirement that is foreseen to entry into force on the 1st of...

Model risk is investigated from a commercial banking viewpoint. We firstly analyze model misspecification. Then, the focus shifts towards model sensitivity. Finally, interactions among various models are scrutinized. Our overarching goal is to derive a distribution of indicators for summarizing...

Given the nature of the lending industry and its importance for global economic stability, financial institutions have always been keen on estimating the risk profile of their clients. For this reason, in the last few years several sophisticated techniques for modelling credit risk have been...