156 citations · 158 across the 12 of their papers we have counts for
4 papers · 1 filter
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…
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…
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…
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'…