Ricerc@Sapienza

This work aims to illustrate an advanced quantitative methodology for measuring the
credit risk of a loan portfolio allowing for diversification effects. Also, this methodology can
allocate the credit capital coherently to each counterparty in the portfolio. The analytical approach
used for estimating the portfolio credit risk is a binomial type based on a Monte Carlo Simulation.
This method takes into account the default correlations among the credit counterparties in the

Modern society’s very existence is tied to the proper and reliable functioning of its Critical Infrastructure (CI) systems. In the seismic risk assessment of an infrastructure, taking into account all the relevant uncertainties affecting the problem is crucial. While both aleatory and epistemic uncertainties affect the estimate of seismic risk to an infrastructure and should be considered, the focus herein is on the latter.