75 citations · 189 across the 10 of their papers we have counts for
11 papers
A Framework for Waterfall Pricing Using Simulation-Based Uncertainty Modeling
Nicola Jean, Giacomo Le Pera, Lorenzo Giada +1
We present a novel framework for pricing waterfall structures by simulating the uncertainty of the cashflow generated by the underlying assets in terms of value, time, and confiden…
Machine Learning approach for Credit Scoring
A. R. Provenzano, D. Trifirò, A. Datteo +7
In this work we build a stack of machine learning models aimed at composing a state-of-the-art credit rating and default prediction system, obtaining excellent out-of-sample perfor…
A Simple Factoring Pricing Model
Ilaria Nava, Davide Cuccio, Lorenzo Giada +1
In a simplified setting, we show how to price invoice non-recourse factoring taking into account not only the credit worthiness of the debtor but also the assignor's one, together…
Restructuring the "one-way CSA" counterparty risk in a CDO
Lorenzo Giada, Claudio Nordio
We show how to restructure the counterparty risk faced by the originator of a securitization or covered bond arising from an interest rate hedging swap assisted by a "one-way" coll…
A note on replicating a CDS through a repo and an asset swap
Lorenzo Giada, Claudio Nordio
In this note we show how to replicate a stylized CDS with a repurchase agreement and an asset swap. The latter must be designed in such a way that, on default of the issuer, it is…
Funded Bilateral Valuation Adjustment
Lorenzo Giada, Claudio Nordio
We show how the cost of funding the collateral in a particular set up can be equal to the Bilateral Valuation Adjustment with the "funded" probability of default, leading to the de…
Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause
Lorenzo Giada, Claudio Nordio
Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such…
Algorithms of maximum likelihood data clustering with applications
Lorenzo Giada, Matteo Marsili
We address the problem of data clustering by introducing an unsupervised, parameter free approach based on maximum likelihood principle. Starting from the observation that data set…
A pseudo-spectral method for the Kardar-Parisi-Zhang equation
Lorenzo Giada, Achille Giacometti, Maurice Rossi
We discuss a numerical scheme to solve the continuum Kardar-Parisi-Zhang equation in generic spatial dimensions. It is based on a momentum-space discretization of the continuum equ…
Data clustering and noise undressing for correlation matrices
Lorenzo Giada, Matteo Marsili
We discuss a new approach to data clustering. We find that maximum likelihood leads naturally to an Hamiltonian of Potts variables which depends on the correlation matrix and whose…
Data clustering and noise undressing of correlation matrices
M. Marsili
We discuss a new approach to data clustering. We find that maximum likelyhood leads naturally to an Hamiltonian of Potts variables which depends on the correlation matrix and whose…