CNR-IRCrES

Company · IT · 2 documents

Key number

4 million firm-year observations

Total Firm-Year Observations in Database. Zenodo (CERN European Organization for Nuclear Research) p.22

Key number

€7,887,397,000

Total analyzed portfolio exposure (2021). Zenodo (CERN European Organization for Nuclear Research) p.30

HERA-XAI: Explaining One-Year-Ahead Corporate Rating Forecasts Through Hierarchical Artificial Intelligence

Research paperZenodo (CERN European Organization for Nuclear Research)October 202668 pages

The HERA-XAI framework extends hierarchical corporate rating forecasting using 9 interconnected Random Forest classification nodes across Production, Trade, and Services sectors.

Una versione logit di Merton-Vasicek: A logit version of the models of Merton and Vasicek

Research paperZenodo (CERN European Organization for Nuclear Research)October 202638 pages

The paper proposes replacing structural asset correlation in the Merton-Vasicek framework with the linear correlation between credit survival logits, enabling the modeling of unlisted corporate credit risk from standard bank rating systems.