Mario Bondioli

Bloomberg L.P.

731 Lexington Avenue

New York, NY 10022

United States

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 20,972

SSRN RANKINGS

Top 20,972

in Total Papers Downloads

3,519

SSRN CITATIONS

0

CROSSREF CITATIONS

7

Scholarly Papers (13)

1.

The Bloomberg Corporate Default Risk Model (DRSK) for Public Firms

Number of pages: 33 Posted: 28 Aug 2021
Bloomberg L.P., Validationquant LLC, Bloomberg L.P., Bloomberg L.P., Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance and Two Sigma
Downloads 1,386 (20,324)

Abstract:

Loading...

Merton, Black-Cox, distance to default, real-world default probability, logistic regression, public firms, credit risk

2.

Speeding up VaR with VDR

Number of pages: 18 Posted: 11 Mar 2022
Mario Bondioli, Stan Maydan, Harvey J. Stein and Yan Zhang
Bloomberg L.P., Bloomberg LP, Two Sigma and Bloomberg LP
Downloads 580 (67,783)

Abstract:

Loading...

risk calculations, VaR, ES, pricing approximation, fast pricing, machine learning, SVD, geometric data analysis, topological data analysis

3.

The Bloomberg Corporate Default Risk Model (DRSK) for Private Firms

Number of pages: 31 Posted: 27 Aug 2021
Bloomberg L.P., Validationquant LLC, Bloomberg L.P., Bloomberg L.P., Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance and Two Sigma
Downloads 444 (93,846)

Abstract:

Loading...

DRSK, private firms, real-world default probability, distance to default, credit risk, logistic regression

4.

Advanced Idiosyncratic Risk and Multi-Factor Models

Number of pages: 24 Posted: 07 Apr 2015 Last Revised: 02 Feb 2017
Jan Dash and Mario Bondioli
Fordham University and Bloomberg L.P.
Downloads 266 (163,847)

Abstract:

Loading...

scenario, risk, CAPM, multifactor, predictive stress, correlated, idiosyncratic, APT

5.

SSA, Random Matrix Theory, and Noise-Reduced Correlations

Number of pages: 19 Posted: 11 Jul 2016 Last Revised: 20 Sep 2016
Jan Dash, Xipei Yang, Mario Bondioli and Harvey J. Stein
Fordham University, Bloomberg L.P., Bloomberg L.P. and Two Sigma
Downloads 143 (284,918)
Citation 2

Abstract:

Loading...

Singular Spectrum Analysis, SSA, Random Matrix Theory, RMT, Wishart, correlations, stable, noise-reduced

6.

Analytic Solution to the Two Dimension Merton Model

Number of pages: 12 Posted: 12 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Mario Bondioli and Harvey J. Stein
Fordham University, Bloomberg L.P. and Two Sigma
Downloads 127 (312,144)

Abstract:

Loading...

Merton, two dimensional, local volatility, hybrid barrier, approximation, correlated default, structural, conformal

7.

Introduction to Noise-Reduced Correlations Using Singular Spectrum Analysis

Number of pages: 12 Posted: 30 Aug 2017
Jan Dash, Xipei Yang, Mario Bondioli and Harvey J. Stein
Fordham University, Bloomberg L.P., Bloomberg L.P. and Two Sigma
Downloads 117 (331,068)

Abstract:

Loading...

Singular Spectrum Analysis, Risk Management, Correlations, Stable, Noise-Cleaned, Polynomials Generalizing Z-Score, Signal-To-Noise Ratio, Random Matrix Theory, Analytic Eigenvalues of Random Matrix, Business Decisions

8.

The Macro-Micro Model, Trends vs. Noise, and SSA - I

Number of pages: 12 Posted: 13 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Xipei Yang and Mario Bondioli
Fordham University, Bloomberg L.P. and Bloomberg L.P.
Downloads 114 (337,261)
Citation 1

Abstract:

Loading...

Macro, Micro, MM, time scales, real world, trend risk, Singular Spectrum Analysis, SSA, correlations, PFE, risk simulation, quasi-random, statistical trend model, historic “time-slice” trend

9.

Macro-Micro, Trends vs. Noise, and SSA - II

Number of pages: 27 Posted: 12 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash, Xipei Yang and Mario Bondioli
Fordham University, Bloomberg L.P. and Bloomberg L.P.
Downloads 80 (422,208)

Abstract:

Loading...

macro, micro, MM, real-world, PFE, risk, quasi-random, trends, 3rd order skew Green function, micro mean reversion, random time distribution, approximate no-arbitrage

10.

Advanced Idiosyncratic Risk and Multi-Factor Models – Short Version

Number of pages: 19 Posted: 01 Feb 2017
Jan Dash and Mario Bondioli
Fordham University and Bloomberg L.P.
Downloads 79 (425,290)

Abstract:

Loading...

AI-Risk, correlated residuals, accurate correlations, cross-section regression, factor models

11.

Stable Reduced-Noise 'Macro' SSA - Based Correlations for Long-Term Counterparty Risk Management

Number of pages: 18 Posted: 11 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Xipei Yang, Harvey J. Stein and Mario Bondioli
Fordham University, Bloomberg L.P., Two Sigma and Bloomberg L.P.
Downloads 71 (451,011)
Citation 4

Abstract:

Loading...

Singular Spectrum Analysis, counterparty risk, correlations, stable, noise-cleaned, macro, business decisions

12.

Risk Tails and General Orthonormal Polynomials

Number of pages: 12 Posted: 12 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Harvey J. Stein and Mario Bondioli
Fordham University, Two Sigma and Bloomberg L.P.
Downloads 65 (472,089)

Abstract:

Loading...

risk tails, probability distribution, moments, GONPOMs, Chebyshev, generalize, z-score

13.

HYVAR (Hybrid VAR): HVAR Mixed with MC-HVAR

Number of pages: 8 Posted: 12 Jul 2016 Last Revised: 14 Feb 2017
Jan Dash and Mario Bondioli
Fordham University and Bloomberg L.P.
Downloads 47 (547,080)

Abstract:

Loading...

Hybrid Value at Risk, Historical VAR, Monte Carlo VAR, arbitrary mixture, mixing angle, correlation, jumps, fat tails