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Marco Bianchetti
Head of Internal Model Market Risk at Intesa Sanpaolo, Adjunct professor of Interest Rate Models at University of Bologna


Marco Bianchetti joined the Financial and Market Risk Management area of Intesa Sanpaolo in 2008. His work covers pricing and risk management of financial instruments across all asset classes, with a focus on market and valuation risk management, model validation and model risk, interest rate and XVAs modelling.

Since 2021 he is head of IMA Market Risk, in charge of the regulatory market risk internal model of Intesa Sanpaolo Group. In 2015-2021 he was head of Fair Value Policy, in charge of the global fair/prudent valuation and IPV policies and valuation risk management of Intesa Sanpaolo Group. Previously he worked for 8 years in the front office Financial Engineering area of Banca Caboto (now IMI CIB Division), developing pricing models and applications for interest rate and inflation trading desk.
He is the author of a few research papers, adjunct professor of Interest Rate Models at University of Bologna since 2015, and a frequent speaker at international conferences and trainings in quantitative finance and risk management.

He holds a M.Sc. in theoretical nuclear physics and a Ph.D. in theoretical condensed matter physics.

Marco Bianchetti's Network

Agenda Sessions

  • Learning Exotic Derivatives without calibration