Marco Scaringi

Intesa Sanpaolo - Financial and Market Risk Management

Quantitative Analyst

Piazza P. Ferrari 10

Milan, 20121

Italy

  • Intesa Sanpaolo - Financial and Market Risk Management

SCHOLARLY PAPERS

5

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Top 20,512

in Total Papers Downloads

4,067

SSRN CITATIONS
Rank 39,115

SSRN RANKINGS

Top 39,115

in Total Papers Citations

12

CROSSREF CITATIONS

8

Scholarly Papers (5)

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1.

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 1,963 (13,375)
Citation 29

Abstract:

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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

2.

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

Number of pages: 60 Posted: 24 Jul 2021 Last Revised: 06 Dec 2022
Lorenzo Silotto, Marco Scaringi and Marco Bianchetti
Deloitte Consulting Srl, Intesa Sanpaolo - Financial and Market Risk Management and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 802 (49,760)

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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

3.

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 592 (73,986)
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

4.

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 554 (80,413)
Citation 2

Abstract:

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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

5.

Learning Bermudans

Number of pages: 24 Posted: 05 May 2021
Riccardo Aiolfi, Nicola Moreni, Marco Bianchetti, Marco Scaringi and filippo fogliani
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 156 (300,147)

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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