Marco Scaringi

Intesa Sanpaolo - Financial and Market Risk Management

Quantitative Analyst

Piazza P. Ferrari 10

Milan, 20121

Italy

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 23,181

SSRN RANKINGS

Top 23,181

in Total Papers Downloads

2,655

SSRN CITATIONS
Rank 46,006

SSRN RANKINGS

Top 46,006

in Total Papers Citations

8

CROSSREF CITATIONS

7

Scholarly Papers (5)

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 1,576 (13,932)
Citation 17

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.

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 (61,868)
Citation 1

Abstract:

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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

3.

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 329 (113,304)
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

4.

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

Number of pages: 59 Posted: 24 Jul 2021 Last Revised: 29 Jul 2021
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 154 (245,809)

Abstract:

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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

5.

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 46 (489,565)

Abstract:

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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