1,721,026 research outputs found
Evoluzione del framework di Credit Risk Management in banca tra IFRS 9 e Basilea 3
No full textThe expected loss approach defined by Ifrs 9 replaced the incurred loss approach of the old accounting principle.
It creates for the financial intermediaries the need to restructure the Credit Risk Management system from strategic
planning to credit risk measurement, monitoring and reporting, performance measurement system and pricing at
risk. The Ifrs 9 impacts are accompanied by new regulatory frameworks (Bcbs), opinion (Ecb), Technical Standards
and guidelines (Eba) which do not always provide the same methodological and operational implications of the
accounting standard setter. The work analyzes Ecl, its main impacts on the pillars of Credit Risk Management (also
in relation to the new prudential supervision framework) and presents a case study aimed at assessing the impact
of Ecl on the degree of coverage of portfolio losses.L'expected loss approach (Ecl) previsto dall’Ifrs 9 ha sostituito, dal gennaio 2018, l’incurred loss approach creando per gli intermediari finanziari la necessità di ristrutturare il processo di Credit Risk Management dalla pianificazione strategica alla misurazione delle variabili del rischio di credito, all’attività di monitoraggio e reporting, al sistema di performance measurement e di pricing at risk. Le implicazioni operative derivanti dall’Ifrs 9 si innestano in un contesto in grande fermento che produce continuamente framework regolamentari (Bcbs), opinion (Bce), Technical Standards e guidelines (Eba) che non sempre prevedono le stesse implicazioni metodologiche e operative dello standard setter contabile. Il lavoro analizza l’Ecl, i suoi principali impatti sui pilastri del Credit Risk Management (anche in relazione al nuovo framework di vigilanza prudenziale) e presenta un case study finalizzato a valutare gli impatti dell’Ecl sul grado di copertura delle perdite di portafoglio
Credit risk management in bank: impacts of IFRS 9
No full textIFRS 9 was developed by the IASB to replace IAS 39. During the international financial crisis, the delayed recognition of credit losses identified as a substantial weakness in accounting rules. Both the IASB and the FASB have been requested to modify the existing incurred loss approach, based on the impairment discipline established by IAS 39 and to consider alternative approaches to the recognition and measurement of losses on loans that incorporate a broader information base. The expected loss approach defined by IFRS 9 replaced the incurred loss approach of the old IAS39. The IFRS 9 are accompanied by new regulatory frameworks (BCBS), opinion (ECB), Technical Standards and guidelines (EBA) which do not always provide the same methodological and operational implications of the accounting standard setter.
The purpose of this paper is to investigate the Expected Credit Loss Model, its main impacts on the pillars of Credit Risk Management (also concerning to the new prudential supervision framework) and its interdependencies and overlaps with the new prudential supervisory framework (Basel 3) on credit risk. The latter is not always reason in the same terms as the accounting principle and implies the same methodological and operational consequences for the Credit Risk Management activity
Introduction to the work and Operational Risk
No full textThe first chapter presents the key topic of the work, defining the objectives and main subjects of the different chapters. It describes the integrated risk approach used by the Authors for operational risk measurement and management, and presents a logic scheme to help readers better understand the different elements of Operational Risk Management. It also describes the evolutionary process of the definition of operational risk, its main features and various dimensions
Minnan and Hakka Tulou. Functional, Typological and Construction Features of the Rammed Earth Dwellings of Fujian (China)
No full textThis research is focused on tulou, collective dwellings of Fujian (China), built with rammed earth and wood. Except for the evident variation in size and in shape between different tulou, all of them apparently share a similar design and layout features and also the scientific literature on this topic does not highlight substantial differences among them. Despite the generic uniformity, it is however possible to clearly distinguish two groups of tulou, built by different populations and reflecting different life styles and dwelling ideas: the Minnan and Hakka tulou. Starting from this new assumption and through a systematic analysis of eight significant case studies, in this paper it is proved for the first time that the functional differences, already partly recognized by previous studies, can be clearly linked to the typological and construction ones as well as. Thanks to this new methodological approach, in the future it will be possible to set up the analysis of this vast heritage in a more orderly manner, allow a greater integration of various disciplinary research and plan a “Manual on tulou restoration”, intended as a guide for restoration and dissemination of the knowledge regarding the original materials and techniques of tulou
Efficiently” Operational Risk Measurement beyond SMA approach: a comparative and sensitivity analysis
No full textBCBS (2013) and EBA (2013) studies demonstrate that a large amount of risk-weighted asset variability (RWA) is due to the lack of comparability between the operational risk internal model. BCBS has recognized the need to update its operational risk capital requirements framework; in a consultative paper issued in 2016, BCBS proposed to remove the Advanced Measurement Approach from the regulatory framework with the aim to address the weaknesses identified in the existing regulatory approaches and to introduce a new Standardised Measurement Approach for operational risk (SMA). The new SMA determines a bank’s operational risk capital requirements based on two components: (i) a measure of a bank’s income; and (ii) a measure of a bank’s historical losses. With the aim to test the effectiveness of this new operational regulatory framework, in this paper, we propose a: a) comparative analysis between the new regulatory SMA model (Standard Measurement Approach) and an Advanced Measurement Approach; b) a risk factor sensitivity analysis of the two approaches with the purpose to finally underline the importance to give a regulatory relevance to measurement’s tools directly connected to operational risk leve
Sustainable or not sustainable pension fund: This is the question. The case of environmental social governance policies in the Italian pension system
No full textThe Environmental Social Governance (ESG) framework is a fundamental issue in every field of economics. Integrating ESG factors into business models, strategies, and policies is the new frontier for financial intermediaries as European policymakers, regulators, and investors increasingly require this. Also, Pension Funds face the daunting task of generating sufficient returns to provide adequate and sustainable retirement incomes for their members in the context of an aging population. This current study aims to determine the relationship between Pension Funds' performance and ESG attention in asset allocation strategies and how relevant the presence of gender diversity is in the board to promote this attention. The obtained results can contribute to formulating a deeper view of ESG practices, revealing significant aspects that influence sustainability action in the Pension Funds Italian market and providing recommendations for European policymakers and practitioners for the future
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
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