Marco Bianchetti

Background

About Marco Bianchetti

Since Oct. experience of quantitative modeling & technology in front office and risk management roles of primary financial institutions with strong commitment in strategic & innovation projects. Since April 2021: head of internal model market risk (13 people team in Milan), managing methodology, implementation and calculation of regulatory risk measures and capital. Nov. 2015-April 2021: head of global valuation policies of Intesa Sanpaolo Group (7 people team in Milan, New York and Hong Kong), managing fair valuation, prudent valuation, independent price verification (IPV) policies and related valuation risk framework. Author of a few research papers and frequent speaker at international conferences and courses in quantitative finance. Adjunct Professor at University of Bologna since Sept. Ph.D. in theoretical physics with 6+ years research experience in mathematical modelling and numerical simulation in nuclear and condensed matter physics, including 2 years teaching activity. Effective professional, able to take initiative and responsibility, propose and lead projects, deliver and report results, managing budget, junior/senior/consultant resources. Specialties- Finance (since pricing and risk management of financial instruments across all asset classes, with a focus on market risk, valuation risk (fair/prudent value, IPV), model validation and model risk, interest rate and XVAs modelling, quasi Monte Carlo, financial bubble analysis, portfolio optimization, machine learning techniques for market data anomaly detection- Physics (up to many body physics with applications to a) electronic, electromagnetic and field emission properties of fullerenes, in particular carbon nanotubes and linear chains, and b) weak transitions in nuclei, in connection with solar neutrino absorption, beta decay and electron capture phenomena.