Chi siamo
Marco Fabio Delzio - Curriculum Vitae
Education:
Work experience:
Publications:
Education:
- PhD in Finance (Applied Mathematics) with the University of Tor
Vergata in Rome (2004).
- Master in Finance, University of Tor Vergata in Rome (2000).
- Laurea, first-class honours in Economics at L.U.I.S.S. University
in Rome (1998).
Work experience:
- Martingale Risk Ltd, London and Rome - Partner and CEO.
- Citigroup, London - Vice President - Derivatives Quantitative
Structurer, Fixed Income Strategy and Analytics Group.
- Credit Suisse, London - Vice President - Quantitative Analyst,
Valuations Risk Group Europe.
- Bank for International Settlements, Basel - Quantitative Analyst,
Risk Methodology Department.
- Banca d'Italia, Rome - Funzionario - Dipartimento Vigilanza sugli
Enti Creditizi (VEC) e Politica Monetaria e del Cambio (PMC).
Publications:
- Pricing credit risk through equity options (I), Marco Fabio Delzio,
October 2006 Journal of Risk Finance, Issue3.
- Pricing credit risk through equity options (II) – Model
Implementation, Marco Fabio Delzio, October 2006, Journal of
Risk Finance, Issue3.
- Rischio di credito e derivati: modelli per il pricing, Marco Fabio
Delzio and Pamela Maggiori, Year 2004, Bancaria Editrice, ABI
(Italian Bankers Association).
"It's not that I am smart, it's just that I stay with problems
longer." Albert Einstein
longer." Albert Einstein
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