rena95
Risk Management Analyst on operational risk at MPS group
Monte dei Paschi di Siena Group Italy
Pinned Repositories
Loss-Distribution-Approach
The repo contains the main topics carried out in my master's thesis on operational risk. In particular, it is described how to implement the so called Loss Distribution Approach (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.
portfolio_selection
Here a Shiny app (still in beta version) which may be used for strategic (long term) asset allocation. The app returns the efficient portfolios among a set of possible investment choices. It is based on portfolio theory of Markowitz
rena95's Repositories
rena95/Loss-Distribution-Approach
The repo contains the main topics carried out in my master's thesis on operational risk. In particular, it is described how to implement the so called Loss Distribution Approach (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.
rena95/portfolio_selection
Here a Shiny app (still in beta version) which may be used for strategic (long term) asset allocation. The app returns the efficient portfolios among a set of possible investment choices. It is based on portfolio theory of Markowitz