activity
20012026
most citedExpected Shortfall as a Tool for Financial Risk Management

156 citations · 158 across the 12 of their papers we have counts for

collaborators

13 papers

cond-mat.dis-nn2026

Learning as a Geometric Phase Transition: Renormalization Group Flow and Anisotropic Symmetry Breaking in Deep Networks

G. Le Pera, C. Nordio

We formulate feature learning as a geometric critical phenomenon of the lifted tensor-product learning metric. The central object is not a scalar overlap, but the target-active geo…

cs.LG2026

Learning Dynamics Reveal a Hierarchy of Weight-Induced Layerwise Gram Metrics

Claudio Nordio

We study feed-forward ReLU networks with fixed readout and quadratic loss, and rewrite gradient descent as a collective dynamics of activation fields and conjugate fields on the tr…

q-fin.PR2025

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…

q-fin.RM2024

Cross-Domain Behavioral Credit Modeling: transferability from private to central data

O. Didkovskyi, N. Jean, G. Le Pera +1

This paper introduces a credit risk rating model for credit risk assessment in quantitative finance, aiming to categorize borrowers based on their behavioral data. The model is tra…

q-fin.ST2020★ 2 cited

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…

q-fin.RM2019

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…

q-fin.PR2019

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…

q-fin.RM2013

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…

q-fin.PR2013

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…

q-fin.PR2012

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…

q-fin.PR2012

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…

q-fin.RM2010

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'…

cond-mat.stat-mech2001★ 156 cited

Expected Shortfall as a Tool for Financial Risk Management

Carlo Acerbi, Claudio Nordio, Carlo Sirtori

We study the properties of Expected Shortfall from the point of view of financial risk management. This measure --- which emerges as a natural remedy in some cases where Value at R…