Marco Bianchetti

Intesa Sanpaolo - Financial and Market Risk Management

Head of IMA Market Risk

Piazza P. Ferrari 10

Milan, 20121

Italy

University of Bologna

Piazza Scaravilli 2

Bologna, 40100

Italy

AIFIRM - Associazione Italiana Financial Industry Risk Manager

www.aifirm.it

Italy

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 976

SSRN RANKINGS

Top 976

in Total Papers Downloads

32,081

SSRN CITATIONS
Rank 14,320

SSRN RANKINGS

Top 14,320

in Total Papers Citations

17

CROSSREF CITATIONS

65

Scholarly Papers (19)

1.

Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask

Number of pages: 82 Posted: 18 Feb 2013 Last Revised: 03 Apr 2013
Ferdinando M. Ametrano and Marco Bianchetti
Digital Gold Institute and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 14,945 (275)
Citation 26

Abstract:

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crisis, crunch, liquidity, funding, credit, counterparty risk, collateral, CSA, Libor, Euribor, Eonia, yield curve, discount curve, bootstrapping, no-arbitrage, pricing, hedging, derivatives, Deposit, FRA, Future, Swap, IRS, OIS, Basis Swap, turn of year, spline, Greeks, sensitivity, QuantLib

Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

Number of pages: 29 Posted: 29 Jan 2009 Last Revised: 22 Jun 2016
Marco Bianchetti
Intesa Sanpaolo - Financial and Market Risk Management
Downloads 8,216 (835)
Citation 32

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liquidity, crisis, counterparty risk, yield curve, forward curve, discount curve, pricing, hedging, interest rate derivatives, FRAs, swaps, basis swaps, caps, floors, swaptions, basis adjustment, quanto adjustment, measure changes, no arbitrage, QuantLib

Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

Risk, August 2010
Posted: 15 Sep 2011 Last Revised: 10 Sep 2018
Marco Bianchetti
Intesa Sanpaolo - Financial and Market Risk Management

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liquidity, crisis, counterparty risk, yield curve, forward curve, discount curve, pricing, hedging, interest rate derivatives, swaps, basis swaps, caps, floors, swaptions, basis adjustment, quanto adjustment, measure changes, no arbitrage, QuantLib, FRAs

3.

Are Cryptocurrencies Real Financial Bubbles? Evidence from Quantitative Analyses

A version of this paper was published in Risk, 26 January 2018
Number of pages: 14 Posted: 27 Dec 2017 Last Revised: 10 Sep 2018
Marco Bianchetti, Camilla Ricci and Marco Scaringi
Intesa Sanpaolo - Financial and Market Risk Management, Intesa Sanpaolo-Financial and Market Risk Management and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 1,574 (13,949)
Citation 17

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Cryptocurrency, Digital Currency, Bitcoin, Ether, Ethereum, Crisis, Bubble, Crash, Time Series, Forecast, PSY, Philips-Shi-Yu, JLS, Johansen-Ledoit-Sornette, Super-Exponential, Log-Periodic Power Law, LPPL, Calibration, Genetic Algorithm, Fit

Interest Rates After the Credit Crunch: Multiple Curve Vanilla Derivatives and SABR

Number of pages: 26 Posted: 14 Mar 2011 Last Revised: 03 Apr 2012
Marco Bianchetti and Mattia Carlicchi
Intesa Sanpaolo - Financial and Market Risk Management and Intesa Sanpaolo - Market Risk Management
Downloads 1,377 (16,911)
Citation 20

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crisis, liquidity, credit, counterparty, risk, fixed income, Libor, Euribor, Eonia, yield curve, forward curve, discount curve, single curve, multiple curve, volatility surface, collateral, CSA discounting, no arbitrage, pricing, interest rate derivative

Interest Rates After the Credit Crunch: Multiple Curve Vanilla Derivatives and SABR

Capco Journal of Financial Transformation, Applied Finance, No. 32, August 2011
Posted: 19 Sep 2011
Marco Bianchetti and Mattia Carlicchi
Intesa Sanpaolo - Financial and Market Risk Management and Intesa Sanpaolo - Market Risk Management

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crisis, liquidity, credit, counterparty, risk, fixed income, Libor, Euribor, Eonia, yield curve, forward curve, discount curve, single curve, multiple curve, volatility surface, collateral, CSA discounting, no arbitrage, pricing, interest rate derivative

5.

Funding Value Adjustment for General Financial Instruments: Theory and Practice

A version of this paper was published in Risk, Nov. 2015
Number of pages: 28 Posted: 10 Jul 2013 Last Revised: 10 Sep 2018
Alexandre Antonov, Marco Bianchetti and Ion Mihai
Danske Bank - Danske Markets, Intesa Sanpaolo - Financial and Market Risk Management and Numerix
Downloads 1,350 (17,798)
Citation 6

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crisis, crunch, funding, collateral, CSA, derivative, repo, no arbitrage, pricing, hedging, replication, PDE, non-linear PDE, SDE, Swap, Bermudan, Swaption, callabl,e Feynman-Kac, OIS, discounting, funding value adjustment, FVA

6.

Prudent Valuation Guidelines and Sound Practices

Number of pages: 148 Posted: 16 Jun 2016 Last Revised: 26 Aug 2018
Marco Bianchetti and Umberto Cherubini
Intesa Sanpaolo - Financial and Market Risk Management and University of Bologna - Department of Economics
Downloads 1,248 (19,944)

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AIFIRM, CRR, EBA, AVA, Additional Valuation Adjustments, prudent valuation, fair valuation, valuation uncertainty, valuation risk, ambiguity, liquidity, correlation, market price uncertainty, close out cost, model risks, unearned credit spread, investing and funding cost, concentrated position

7.

Brexit or Bremain? Evidence from Bubble Analysis

A version of this paper was published in Risk, 23 June 2016, , and in Proceedings of the 1st Workshop on MIning DAta for financial applicationS (MIDAS 2016), September 19-23, 2016, edited by I. Bordino, G. Caldarelli, F. Fumarola, F. Gullo, T. Squartin
Number of pages: 10 Posted: 23 Jun 2016 Last Revised: 10 Sep 2018
Intesa Sanpaolo - Financial and Market Risk Management, Dipartimento di Fisica, Università degli Studi di Milano, Intesa Sanpaolo-Financial and Market Risk Management, Dipartimento di Fisica, Università degli Studi di Milano and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 550 (61,829)
Citation 1

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JLS, Johansen-Ledoit-Sornette, Bubble, Crash, Crisis, Brexit, Bremain, UK, UE, Referendum, Forecast, Polls, Odds, Historical Series, Super-Exponential, Log-Periodic Power Law, LPPL, Calibration, Genetic Algorithm, Fit

8.

The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management

Number of pages: 22 Posted: 31 Oct 2011 Last Revised: 29 Oct 2012
Marco Bianchetti
Intesa Sanpaolo - Financial and Market Risk Management
Downloads 542 (62,956)
Citation 2

Abstract:

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crisis, liquidity, credit, counterparty, risk, fixed income, Libor, Euribor, Eonia, yield curve, forward curve, discount curve, single curve, multiple curve, collateral, CSA- discounting, liquidity, funding, no arbitrage, pricing, interest rate derivatives, Deposit, FRA, Swap, OIS, Basis Swap

9.

ETD vs. OTCD: Counterparty Risk and Capital Requirements for Exchange Traded Derivatives

Number of pages: 33 Posted: 25 Sep 2014 Last Revised: 24 Sep 2018
Intesa Sanpaolo - Financial and Market Risk Management, Intesa Sanpaolo - Market Risk Management, Intesa SanPaolo SpA, Intesa SanPaolo SpA and Intesa Sanpaolo - Internal Validation
Downloads 526 (65,310)

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ETD, exchange traded derivatives, OTC, Over The Counter, derivatives, FRA, Futures, counterparty risk, exposure, collateral, CSA, margin, capital, Internal Model Method, IMM, Current Exposure Method, CEM, Risk Weighted Assets, RWA, Exposure at Default, EAD

10.

Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis

A version of this paper was published in Wilmott, 2015: 46-70, July 2015
Number of pages: 43 Posted: 11 Apr 2015 Last Revised: 29 Jun 2021
Marco Bianchetti, Sergei Kucherenko and Stefano Scoleri
Intesa Sanpaolo - Financial and Market Risk Management, Imperial College London - Faculty of Engineering and Be Consulting
Downloads 439 (81,401)
Citation 1

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derivative, option, European, Asian, barrier, knock-out, cliquet, greeks, Brownian bridge, global sensitivity analysis, Monte Carlo, Quasi Monte Carlo, random, pseudo random, quasi random, low discrepancy, Sobol', convergence, speed-up

11.

Markets Evolution after the Credit Crunch

A version of this paper was published as chapter 1 in "Interest Models After The Financial Crisis," Editors Marco Bianchetti and Massimo Morini, Risk Books, 11 June 2013
Number of pages: 35 Posted: 28 Jan 2013 Last Revised: 25 Aug 2018
Marco Bianchetti and Mattia Carlicchi
Intesa Sanpaolo - Financial and Market Risk Management and Intesa Sanpaolo - Market Risk Management
Downloads 438 (81,634)
Citation 1

Abstract:

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crisis, liquidity, credit, counterparty, risk, fixed income, Libor, Euribor, Eonia, yield curve, collateral, CSA discounting, no arbitrage, pricing, interest rate derivatives, FRA, swap, OIS, basis swap, CDS spread, ECB monetary policy, ISDA

12.

No Fear of Discounting: How to Manage the Transition from EONIA to €STR

Number of pages: 23 Posted: 08 Sep 2020 Last Revised: 29 Jan 2021
Marco Scaringi and Marco Bianchetti
Intesa Sanpaolo - Financial and Market Risk Management and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 328 (113,601)
Citation 2

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BMR, ECB, EMMI, EURIBOR, EONIA, €STR, benchmark rate, interest rate, risk-free rate, overnight rate, discounting, yield curve, bootstrapping, derivative, pricing, OIS, IRS, XVA, FVA

13.

Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks

Number of pages: 48 Posted: 06 Feb 2017
Stefano Scoleri, Marco Bianchetti and Sergei Kucherenko
Be Consulting, Intesa Sanpaolo - Financial and Market Risk Management and Imperial College London - Faculty of Engineering
Downloads 274 (137,487)
Citation 3

Abstract:

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derivative, option, European, Asian, barrier, knock-out, cliquet, greeks, Monte Carlo, Quasi Monte Carlo, random, pseudo random, quasi random, low discrepancy, Sobol', convergence, speed-up, Brownian bridge, global sensitivity analysis, principal component analysis, AAD

14.

Moving from IBORs to Alternative Risk Free Rates

Number of pages: 8 Posted: 29 Jan 2021
Veronica Falco, Marco Bianchetti and Umberto Cherubini
affiliation not provided to SSRN, Intesa Sanpaolo - Financial and Market Risk Management and University of Bologna - Department of Economics
Downloads 98 (325,979)

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IOSCO, FSB, ECB, EMMI, IBA, BMR, LIBOR, EURIBOR, EONIA, €STR, Benchmark Rate, Interest Rate, Risk-Free Rate, Overnight Rate, Discounting

15.

Miss Libor

Number of pages: 5 Posted: 04 Sep 2018
Marco Bianchetti and Massimo Morini
Intesa Sanpaolo - Financial and Market Risk Management and Banca IMI
Downloads 72 (392,161)

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Libor, crisis, crunch, liquidity risk, funding risk, credit risk, counterparty risk, collateral, CSA, OIS discounting, fixed income, interest rates, interest rate derivatives, FRA, Swap, IRS, Basis Swap

16.

Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask

Number of pages: 59 Posted: 24 Jul 2021
Marco Bianchetti, Marco Scaringi and Lorenzo Silotto
Intesa Sanpaolo - Financial and Market Risk Management, Intesa Sanpaolo - Financial and Market Risk Management and Deloitte Consulting Srl
Downloads 59 (708,981)

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Interest Rates, XVA, CVA, DVA, AVA, Prudent Valuation, Model Risk, Market Risk, Counterparty Risk, Model Validation, Credit Exposure, Variation Margin, Initial Margin, ISDA-SIMM, Swaps, Swaptions, Derivatives

17.

Learning Bermudans

Number of pages: 24 Posted: 05 May 2021
Dipartimento di Fisica, Università degli Studi di Milano, Intesa Sanpaolo, CIB Division, Global Markets, Intesa Sanpaolo - Financial and Market Risk Management, Intesa Sanpaolo - Financial and Market Risk Management and Intesa SanPaolo SpA - Financial and Market Risk Management Department
Downloads 45 (489,220)

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Bermudan, Swaptions, Pricing, Interest Rates, Derivatives, Least Square, Monte Carlo, Hull-White model, G1++, Machine Learning, Supervised Learning, Neural Networks, Ridge, Support Vector Machine, Decision Tree, Random Forest, Gradient Boosted Regression Tree, K-Nearest Neighbours, Regression, Hedgi

18.

Interest Rate Modelling after the Financial Crisis

edited By Massimo Morini and Marco Bianchetti, Risk Books, 11 June 2013, ISBN 9781906348939
Posted: 04 Sep 2018 Last Revised: 10 Sep 2018
Marco Bianchetti and Massimo Morini
Intesa Sanpaolo - Financial and Market Risk Management and Banca IMI

Abstract:

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interest rate, interest rate market, Libor, Euribor, Eonia, financial crisis, credit crunch, financial modelling, multiple yield curve, interest rate basis, interest rate model, Libor Market Model, stochastic basis, HJM model, markovian models, short rate models,pricing, interest rate derivatives

19.

Bootstrapping the Illiquidity: Multiple Yield Curves Construction for Market Coherent Forward Rates Estimation

A version of this paper was published as chapter 1 in "Modeling Interest Rates", edited by Fabio Mercurio, Risk Books, 1 May 2009, ISBN 9781906348137
Posted: 02 Apr 2009 Last Revised: 10 Sep 2018
Ferdinando M. Ametrano and Marco Bianchetti
Digital Gold Institute and Intesa Sanpaolo - Financial and Market Risk Management

Abstract:

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Liquidity crisis, credit crunch, interest rates, yield curve, forward curve, discount curve, bootstrapping, pricing, hedging, interest rate derivatives, Deposit, FRA, Futures, Swap, Basis Swap, turn of year, spline, QuantLib