Claudio Nordio

illimity bank

Chief Risk Officer

Milano

Italy

SCHOLARLY PAPERS

11

DOWNLOADS

1,846

SSRN CITATIONS

0

CROSSREF CITATIONS

8

Scholarly Papers (11)

1.

Liquidity-Adjusted Market Risk Measures with Stochastic Holding Period

Number of pages: 11 Posted: 21 Sep 2010 Last Revised: 22 Oct 2010
Damiano Brigo and Claudio Nordio
Imperial College London - Department of Mathematics and illimity bank
Downloads 297 (194,898)
Citation 3

Abstract:

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Liquidity Risk, Random Holding Period, Systemic Risk, Basel Agreement, Value at Risk, Expected Shortfall, Stochastic Holding Period, Variance Normal Mixture, Tail Dependence, Heavy Tailed Distributions

2.

Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause

Number of pages: 10 Posted: 09 May 2012 Last Revised: 23 Jan 2013
Lorenzo Giada and Claudio Nordio
illimity Bank and illimity bank
Downloads 264 (219,726)
Citation 3

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Counterparty risk, Credit Valuation Adjustment, Unilateral CVA, Bilateral CVA, Debit Valuation Adjustment, Closeout, ISDA, Bermudan option, Equity Forward Contract, Break clause, Optional Early Termination clause, Additional Early Termination clause, Gumbel bivariate exponential distributions

3.

Scaling Operational Loss Data and Its Systemic Risk Implications

Number of pages: 15 Posted: 27 Nov 2013 Last Revised: 12 Feb 2014
Roberto Torresetti and Claudio Nordio
Università degli Studi di Milano and illimity bank
Downloads 245 (236,621)
Citation 2

Abstract:

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Operational Risk, Power Law, Loss Distribution Approach, Advanced Measurement Approach, VaR, Single Loss Approximation, Extreme Value Theory, External Loss Data, Consortium Loss Data, Rescaling, Scaling, Mixture Distribution, Asymptotic Approximation.

4.

Funded Bilateral Valuation Adjustment

Number of pages: 10 Posted: 09 Nov 2012
Lorenzo Giada and Claudio Nordio
illimity Bank and illimity bank
Downloads 243 (238,540)

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counterparty risk, credit valuation adjustment, funding valuation adjustment, bilateral valuation adjustment, debit valuation adjustment, CVA, FVA, DVA, Basel III, restructuring counterparty risk, ISDA, CSA, one way CSA

5.

A Note on Replicating a CDS Through a Repo and an Asset Swap

Number of pages: 6 Posted: 02 May 2013
Lorenzo Giada and Claudio Nordio
illimity Bank and illimity bank
Downloads 233 (248,395)
Citation 1

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Credit Default Swap, Repurchase agreement, Structured Repo, Term repo, Repo to maturity, Asset swap, Early termination, Break clause, Close-out amount, Credit Valuation Adjustment, Debit Valuation Adjustment, CVA, DVA

6.

An Artificial Intelligence Approach to Shadow Rating

Number of pages: 18 Posted: 10 Jan 2020
illimity bank, illimity bank, illimity bank, illimity Bank, illimity bank, illimity bank and illimity bank
Downloads 172 (327,832)
Citation 1

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Rating Model, Shadow Rating, Artificial Intelligence, Machine Learning, Explainable AI

7.

A Simple Factoring Pricing Model

Number of pages: 11 Posted: 02 Aug 2019
Ilaria Nava, Davide Cuccio, Lorenzo Giada and Claudio Nordio
illimity bank, illimity bank, illimity Bank and illimity bank
Downloads 118 (443,418)

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Factoring, Credit Risk, Bankruptcy, Default Correlation, Kendall’s Tau, Gumbel Copula

8.

Truncated Lognormals as a Power Law Mimicry in Operational Risk

Number of pages: 12 Posted: 30 Dec 2014
Roberto Torresetti and Claudio Nordio
Università degli Studi di Milano and illimity bank
Downloads 105 (483,252)
Citation 2

Abstract:

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9.

Hedging the 'One-Way CSA' Counterparty Risk in a CDO

Number of pages: 8 Posted: 28 Oct 2013
Lorenzo Giada and Claudio Nordio
illimity Bank and illimity bank
Downloads 93 (524,165)

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10.

Cross-Domain Behavioral Credit Modeling: Transferability from Private to Central Data

Number of pages: 25 Posted: 05 Feb 2024
illimity bank, illimity bank, illimity Bank and illimity bank
Downloads 46 (754,461)

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Credit Risk, Rating Model, Corporate Scoring, Behavioral Models, Artificial Intelligence, Machine Learning, XAI

11.

Machine Learning approach for Credit Scoring

Number of pages: 28 Posted: 01 Dec 2023
illimity Bank, illimity bank, illimity bank, illimity bank, illimity bank, illimity bank and illimity bank
Downloads 30 (877,280)

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Artificial Intelligence, Machine Learning, Explainable AI, Autoencoders, Embedding, LightGBM, Differential Evolution, SHAP, LIME, Credit Risk, Rating Model, Default, Probability of Default, Classification