4 papers
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…
Learning the Exact SABR Model
Giorgia Rensi, Pietro Rossi, Marco Bianchetti
The SABR model is a cornerstone of interest rate volatility modeling, but its practical application relies heavily on the analytical approximation by Hagan et al., whose accuracy d…
Effective dimensionality reduction for Greeks computation using Randomized QMC
Luca Albieri, Sergei Kucherenko, Stefano Scoleri +1
Global sensitivity analysis is employed to evaluate the effective dimension reduction achieved through Chebyshev interpolation and the conditional pathwise method for Greek estimat…
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…