Orazio Angelini

IHS Markit

25 Ropemaker Street

4th floor Ropemaker Place

London, EC2Y 9LY

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

509

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Imputation of Multivariate Time Series Data - Performance Benchmarks for Multiple Imputation and Spectral Techniques

Number of pages: 18 Posted: 06 Jul 2017
Johannes Bauer, Orazio Angelini and Alexander Denev
IHS Markit, IHS Markit and Deloitte Financial Advisory Services
Downloads 190 (161,467)

Abstract:

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missing data, machine learning, spectral analysis

2.

Underdetermination and Variability of the Results in Macro-to-Micro Stress Tests – A Machine Learning Approach

Journal of Risk Management in Financial Institutions, Volume 10/ Number 2/ Spring 2017, pp. 130-149(20)
Number of pages: 25 Posted: 26 Oct 2016 Last Revised: 16 Jul 2017
Alexander Denev and Orazio Angelini
Deloitte Financial Advisory Services and IHS Markit
Downloads 169 (178,361)

Abstract:

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Stress Testing, Scenario Analysis, Probabilistic Graphical Models, Visualization, Model Risk, Machine Learning

3.

A Probabilistic Graphical Models Approach to Model Interconnectedness

Number of pages: 15 Posted: 30 Nov 2017 Last Revised: 16 Mar 2019
Alexander Denev, Adrien Papaioannou and Orazio Angelini
Deloitte Financial Advisory Services, IHS Markit and IHS Markit
Downloads 150 (197,218)

Abstract:

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Probabilistic Graphical Models, Stress Testing, Model Risk