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QuantMinds International
7 - 10 November, 2022
W Barcelona

Marco Bianchetti
Head of Internal Model Market Risk at Intesa Sanpaolo

Profile

Marco holds a M.Sc. in theoretical nuclear physics (1995) and a Ph.D. in theoretical condensed matter physics (2000) from Università degli Studi di Milano. He joined the front office Financial Engineering team of Banca Caboto (now IMI Corporate and Investment Bank Division of Intesa Sanpaolo) in 2000, where he developed pricing models and applications for the fixed income trading desk. In 2008 he moved to the Financial and Market Risk Management of Intesa Sanpaolo, where in 2015 he was appointed head of Fair Value Policy, developing the global fair/prudent/IPV policies and the valuation risk management framework of Intesa Sanpaolo Group. In 2021 he was appointed head of IMA Market Risk, in charge of the internal model for market risk.

His work covers pricing and risk management of financial instruments, with a focus on market risk, valuation risk, interest rates, XVAs, quasi Monte Carlo, financial bubbles and portfolio optimization. He is the author of a few research papers, adjunct professor at Università di Bologna since 2015 and at Università di Torino since 2018, and a frequent speaker at international conferences and trainings in quantitative finance and risk management.

Marco Bianchetti's Network

Agenda Sessions

  • Learning market data anomalies

    14:30