2 citations · 2 across the 6 of their papers we have counts for
3 papers · 1 filter
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…