Sergio Caprioli

Intesa Sanpaolo

Sergio Caprioli holds an MSc in Statistics and Corporate Strategies and a BSc in Statistics and Information Technologies from the University La Sapienza (Rome). He has more than 10 years’ experience in Risk Management and Credit Controls. In the last years he has been acting as an Expert within Intesa Sanpaolo ICAAP and Operational Risks Internal Validation department in Milan, leading projects regarding ICAAP, IFRS9, Model Risk, Credit and Country Risk validation and back-testing analyses. He has lectured as a adjunct university professor and guest lecturer, he also participated as a speaker in different banking and finance workshops.

Articles by Sergio Caprioli

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