Emanuele Cagliero

Intesa Sanpaolo

Emanuele Cagliero has been actively involved in the validation of quantitative models for financial institutions since 2011. Currently at Intesa Sanpaolo’s ICAAP and Operational Risks Internal Validation department in Turin, he focuses on models for Pillar 2 risks, while previously maturing extensive experience of Market Risk models for the trading book. He holds an M.Sc. and a Ph.D. in Physics from the University of Turin and a Certificate in Quantitative Finance (CQF).

Articles by Emanuele Cagliero

Original research

Quantifying credit portfolio sensitivity to asset correlations with interpretable generative neural networks

This study introduces a method for assessing the impact of asset correlations on credit portfolio value-at-risk using variational autoencoders (VAEs), offering a more interpretable approach than previous methods and improving model interpretability.

23 Apr 2024

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Alternatively you can request an individual account here