2 citations · 2 across the 6 of their papers we have counts for
7 papers
Are cryptocurrencies real financial bubbles? Evidence from quantitative analyses
Marco Bianchetti, Camilla Ricci, Marco Scaringi
The growth of peer-to-peer exchanges and the blockchain technology has led to a proliferation of cryptocurrencies and to a massive increase in the number of investors who actually…
Sharpening Shapley Allocation: from Basel 2.5 to FRTB
Marco Scaringi, Marco Bianchetti
Risk allocation, the decomposition of a portfolio-wide risk measure into component contributions, is a fundamental problem in financial risk management due to the non-additive natu…
Risk-aware Trading Portfolio Optimization
Marco Bianchetti, Gabriele D'Acunto, Gianmarco De Francisci Morales +3
We investigate portfolio optimization in financial markets from a trading and risk management perspective. We term this task Risk-Aware Trading Portfolio Optimization (RATPO), form…
No Fear of Discounting - How to Manage the Transition from EONIA to ESTR
Marco Bianchetti, Marco Scaringi
An important step in the Financial Benchmarks Reform was taken on 13th September 2018, when the ECB Working Group on Euro Risk-Free Rates recommended the Euro Short-Term Rate ESTR…
Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask
Lorenzo Silotto, Marco Scaringi, Marco Bianchetti
Valuation adjustments, collectively named XVA, play an important role in modern derivatives pricing to take into account additional price components such as counterparty and fundin…
Learning Bermudans
Riccardo Aiolfi, Nicola Moreni, Marco Bianchetti +2
American and Bermudan-type financial instruments are often priced with specific Monte Carlo techniques whose efficiency critically depends on the effective dimensionality of the pr…
Brexit or Bremain ? Evidence from bubble analysis
Marco Bianchetti, Davide Galli, Camilla Ricci +2
We applied the Johansen-Ledoit-Sornette (JLS) model to detect possible bubbles and crashes related to the Brexit/Bremain referendum scheduled for 23rd June 2016. Our implementation…