Giuliana Caivano

Adjunct professor

Department of Management

Publications

“Intelligenza Artificiale: l’applicazione di Machine Learning & Predictive Analytics nel Risk Management” Position Paper AIFIRM (2019)
“Estimating Loss Given Default (LGD) through advanced credibility theory” European Journal of Finance (2014)
“Development of a LGD Model Basel2 compliant: a case study” Mathematical and Statistical Methods for Actuarial Sciences and Finance (March 2014), Edition Springer
“Probability of Default: A modern calibration approach” Mathematical and Statistical Methods for Actuarial Sciences and Finance (March 2014), Edition Springer
“Survival analysis approach in Basel2 credit risk management: modeling danger rates in loss given default parameter” Journal of Credit Risk, Volume 9/Number 1, Spring 2013
“Modelli di Rating oltre Basilea”, chapter on book “La gestione dei rischi durante la crisi, lesson learnd”, McGraw-Hill (2013)
“Beyond Basel2: modeling loss given default through survival analysis” published on volume Mathematical and Statistical Methods for Actuarial Sciences and Finance (September 2011), Edition Springer