Giacomo Le Pera

illimity Bank

Via Soperga

Milano

Italy

SCHOLARLY PAPERS

6

DOWNLOADS

664

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (6)

1.

Classification and Diversification Benefit for Operational Risk Data

Number of pages: 15 Posted: 15 Nov 2013 Last Revised: 21 Nov 2023
Roberto Torresetti and Giacomo Le Pera
Università degli Studi di Milano and illimity Bank
Downloads 208 (276,413)
Citation 3

Abstract:

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Operational Risk, Classification, Loss Distribution Approach, Advanced Measurement Approach, VaR, Diversification, Correlation, Single Loss Approximation, Extreme Events, Sub-exponential Distribution, Regularly Varying Distributions, Poisson Process, Compound Process, Mixture Distribution

2.

An Artificial Intelligence Approach to Shadow Rating

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

Abstract:

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

3.

Operational Risk Bias Quanti fication and Correction

Number of pages: 12 Posted: 30 Dec 2014
Roberto Torresetti and Giacomo Le Pera
Università degli Studi di Milano and illimity Bank
Downloads 112 (461,108)

Abstract:

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4.

Improvements in the Measurement of Systemic Risk for Credit Portfolio Management

Number of pages: 16 Posted: 13 Nov 2013 Last Revised: 16 Nov 2013
Thomas Aubrey and Giacomo Le Pera
Credit Capital Advisory and illimity Bank
Downloads 96 (513,466)

Abstract:

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Systemic risk, business cycles, Basel II, Basel III, nonlinear dynamics, Neo-Wicksellian

5.

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)

Abstract:

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

6.

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)

Abstract:

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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