2 citations · 2 across the 2 of their papers we have counts for
2 papers
cs.LG2024
Denoising ESG: quantifying data uncertainty from missing data with Machine Learning and prediction intervals
Sergio Caprioli, Jacopo Foschi, Riccardo Crupi +1
Environmental, Social, and Governance (ESG) datasets are frequently plagued by significant data gaps, leading to inconsistencies in ESG ratings due to varying imputation methods. T…
q-fin.RM2023★ 2 cited
Quantifying Credit Portfolio sensitivity to asset correlations with interpretable generative neural networks
Sergio Caprioli, Emanuele Cagliero, Riccardo Crupi
In this research, we propose a novel approach for the quantification of credit portfolio Value-at-Risk (VaR) sensitivity to asset correlations with the use of synthetic financial c…