Sergio Caprioli

Intesa SanPaolo SpA

Milan

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

528

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Handling Model Uncertainty in the Estimation of Satellite Models in Bank’s Credit Risk Projections

Number of pages: 41 Posted: 18 Feb 2021 Last Revised: 28 Mar 2022
Roberto Torresetti and Sergio Caprioli
Università degli Studi di Milano and Intesa SanPaolo SpA
Downloads 300 (192,755)
Citation 1

Abstract:

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Satellite Model, Credit Risk, Probability of Default, PD, Bayesian Estimator, Complexity Prior, LASSO, RIDGE, BIC, Model Averaging.

2.

Back-Testing Credit Risk Parameters on Low Default Portfolios: A Bayesian Approach with an Application to Sovereign Risk

Number of pages: 15 Posted: 19 Apr 2023 Last Revised: 28 Nov 2023
Sergio Caprioli, Riccardo Cogo and Raphael Cavallari
Intesa SanPaolo SpA, Milano-Bicocca University and Intesa SanPaolo SpA
Downloads 228 (253,515)

Abstract:

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Back-Testing, Bayesian Statistics, Country Risk, Credit Risk, Low Default Portfolio, Single Factor Model, Sovereign