2 citations · 2 across the 4 of their papers we have counts for
5 papers
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…
An Artificial Intelligence approach to Shadow Rating
Angela Rita Provenzano, Daniele Trifirò, Nicola Jean +4
We analyse the effectiveness of modern deep learning techniques in predicting credit ratings over a universe of thousands of global corporate entities obligations when compared to…
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…
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…
Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
Damiano Brigo, Claudio Nordio
Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This is done in order to obtain a `liquidity-adjusted risk measure'…