Marco Bianchetti

Intesa Sanpaolo - Financial and Market Risk Management

Piazza P. Ferrari 10

P.O. BOX 8319

Milan, 20121

Italy

University of Bologna

Piazza Scaravilli 2

Bologna, 40100

Italy

  • Intesa Sanpaolo - Financial and Market Risk Management

  • University of Bologna

SCHOLARLY PAPERS

15

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26,171

CITATIONS
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Top 12,125

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62

Scholarly Papers (15)

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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 11,390 (328)
Citation 13

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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

2.

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

Downloads 7,779 ( 687)

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 7,779 (676)
Citation 23

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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 1,326 (13,997)
Citation 5

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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

4.

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

Downloads 1,289 ( 14,601)

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 1,289 (14,300)
Citation 15

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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
Standard Chartered Bank, London, Intesa Sanpaolo - Financial and Market Risk Management and Numerix
Downloads 1,275 (14,836)
Citation 5

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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 565 (47,127)

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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
Marco Bianchetti, Davide Galli, Camilla Ricci, Angelo Salvatori and Marco Scaringi
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 535 (50,443)
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 524 (51,823)
Citation 2

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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
Marco Bianchetti, Mattia Carlicchi, Federico Cozzi, Leonardo Recchia and Andrea Spuntarelli
Intesa Sanpaolo - Financial and Market Risk Management, Intesa Sanpaolo - Market Risk Management, Intesa SanPaolo SpA, Intesa SanPaolo SpA and Intesa Sanpaolo - Internal Validation
Downloads 416 (68,920)

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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: 10 Sep 2018
Marco Bianchetti, Sergei Kucherenko and Stefano Scoleri
Intesa Sanpaolo - Financial and Market Risk Management, Imperial College London - Faculty of Engineering and Be Consulting
Downloads 415 (69,121)

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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 410 (70,174)
Citation 1

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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.

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 206 (146,643)
Citation 1

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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

13.

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 41 (417,943)

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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

14.

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

15.

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