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...

The aim of the paper is to explain what is meant by Digital Risk&Governance. For this purpose, it is important to retrace the technological evolution that has affected the last few decades: from branches to Mobile Banking, from the digitalization of transactions to the creation of Fintech, from...

This study explores an innovative approach to portfolio optimization, bridging traditional Modern Portfolio Theory (MPT) with advanced Machine Learning techniques. We start by recognizing the significance of Markowitz's model in MPT and quickly proceed to focus on the Hierarchical Risk Parity...

This study analyses the evolving landscape of digital risk management within the banking sector. Based on responses from a diverse group of Italian banks, the research sheds light on key trends and strategic priorities in risk management. By soliciting insights from professionals and...

Recently, there has been a growing focus on sustainability issues within the financial sector. However, quantitative analysis of social and governance aspects has been challenging due to difficulties in data modelling. With the recent regulatory updates for standardised disclosure, the next step...

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...

The transition towards a sustainable economy is currently one of the most pressing issues for managers, stakeholders and policy makers. For the banking sector, several regulatory initiatives have been promoted by European Supervisors and Regulators, which have recognized the pivotal role of...

Pandemic risks, such as Covid-19, are difficult to insure because they are characterized by multiple risks and losses that can affect a variety of enterprises and people at the same time. Insurers are unable to generate accurate pricing due to a lack of time series and granular statistical data....

In the context of the rapid changes that have occurred in recent years, characterized by veritable "black swans" such as the COVID19 pandemic and extreme weather events that are occurring with increasing frequency, the issue of climate change has come into the focus of banking regulators and...

Supply Chain Finance is as a portfolio of financing and risk mitigation practices and techniques to optimize the management of the working capital and liquidity invested in supply chain processes and transactions. SCF techniques existing on the market can be divided into three categories:...