Riccardo Crupi

Intesa Sanpaolo

Riccardo Crupi, a mathematician-engineer with a profound passion for astrophysics, brings nearly 7 years of experience as a Data Scientist. He attained his Master’s in Industrial Automation during a 3-year tenure at Comau, specializing in predictive maintenance. Currently leading projects at Intesa Sanpaolo, Riccardo’s impactful contributions have led to published papers in Artificial Intelligence, focusing on topics like Fairness, eXplainable AI, GenAI, and NLP. Concurrently pursuing a PhD in computer science, mathematics, and physics at the University of Udine, he is set to conclude his program with a thesis on Deep Learning for Gamma-Ray Bursts.

Articles by Riccardo Crupi

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

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