| Credit, funding, margin, and capital valuation adjustments for bilateral portfolios C Albanese, S Caenazzo, S Crépey Probability, Uncertainty and Quantitative Risk 2 (1), 7, 2017 | 33 | 2017 |
| Capital and funding C Albanese, S Caenazzo, S Crépey Available at SSRN 2598527, 2015 | 25 | 2015 |
| Capital valuation adjustment and funding valuation adjustment C Albanese, S Caenazzo, S Crépey Available at SSRN 2745909, 2016 | 19 | 2016 |
| Regression Sensitivities for Initial Margin Calculations C Albanese, S Caenazzo, O Frankel Available at SSRN 2763488, 2016 | 4 | 2016 |
| Interpretability of Neural Networks: A Credit Card Default Model Example K Ponomareva, S Caenazzo Available at SSRN 3519142, 2019 | 3 | 2019 |
| Funding, margin and capital valuation adjustments for bilateral trade portfolios C Albanese, S Caenazzo, S Crépey | 3 | 2017 |
| Genetic Algorithm Application to Portfolio Optimisation E Stomeo, S Caenazzo, K Ponomareva, R Jha | 3* | |
| Image In painting Applied to Art Completing Escher's Print Gallery L Cipolina-Kun, S Caenazzo, G Mazzei, AS Menon arXiv preprint arXiv:2109.02536, 2021 | 1 | 2021 |
| Credit Limits, Stress Testing and Model Risk for Capital Metrics C Albanese, F Anfuso, S Caenazzo, D Karyampas Stress Testing and Model Risk for Capital Metrics (March 10, 2016), 2016 | 1 | 2016 |
| A 2-Factor model for inclusion of Voluntary Termination Risk in Automotive Retail Loan Portfolios S Caenazzo, K Ponomareva Available at SSRN 3919109, 2021 | | 2021 |
| Mathematical Foundations of Regression Methods for Approximating the Forward Initial Margin L Cipolina-Kun, S Caenazzo, K Ponomareva Available at SSRN 3620523, 2020 | | 2020 |
| Mathematical Foundations of Regression Methods for the approximation of the Forward Initial Margin LC Kun, S Caenazzo, K Ponomareva arXiv preprint arXiv:2002.04563, 2020 | | 2020 |
| VaR Optimisation and Regression Sensitivities C Albanese, S Caenazzo, M Syrkin Available at SSRN 2830130, 2017 | | 2017 |
