About the CEO

Dr. Marco Fabio Delzio

Dr. Marco Fabio Delzio graduated in Economics and Finance from the L.U.I.S.S. Guido Carli in Rome, in addition to a master's and a PhD in Mathematical Finance. He was an Officer at the Bank of Italy and the Bank of International Settlements, and held the position of Vice President in the Capital Markets departments of Credit Suisse and Citigroup based in London. In 2008 he founded Martingale Risk, a financial engineering company specializing in the analysis of complex financial instruments, of which he is currently the CEO. He is the organizer of the Executive Master's Course in Derivatives Risk Management at the LUISS Business School, where he is a professor and scientific referent. Dr. Delzio is also a Technical Consultant at the Court of Rome, and has been a Party Technical Consultant for hundreds of Italian companies and local authorities. He is the author of numerous publications and articles on a national and international level.

Current Roles

Martingale Risk Srl

Rome, Italy

2008 - present

Università LUISS

Guido Carli School of Business

Rome, Italy

2018 - present

Publications

Research by Dr. Delzio

Pricing credit risk through equity options calibration:

Part 1 – theory

Marco Fabio Delzio

Journal of Risk Finance (ISSN: 1526-5943)

2006 

Rischio di Credito e Derivati: Modelli per il Pricing

Marco Fabio Delzio & Pamela Maggori

Bancaria Editrice 

2004

Il rischio di credito sui titoli corporate

Marco Fabio Delzio

Bancaria (p.78-91)

2003 

Founder, Managing Partner & CEO

Professor & Scientific Referent

Executive Course of Derivatives Risk Management

Administration, Finance & Management Program

Articles by Dr. Delzio

Vivere senza rating? E’ possibile, ce lo ha insegnato Lehman

Marco Fabio Delzio, Alberto Annicchiarico

Il Sole 24 Ore

2013

Derivati? Otto consigli pratici per uscire dalla trappola

Marco Fabio Delzio

Il Sole 24 Ore

2009

Derivati, enti locali prigionieri dei tassi a lungo termine

Marco Fabio Delzio, Alberto Annicchiarico

Il Sole 24 Ore

2009

I tassi a lungo termine dicono deflazione

Marco Fabio Delzio

La Repubblica

2009

La volatilità del barile mette a rischio gli investimenti 

Marco Fabio Delzio, Gian Marco Bardelli

Il Sole 24 Ore

2008

Il fallimento Lehman ha fatto impennare l’Euribor

Marco Fabio Delzio, Martina Rocci

La Repubblica

2008

I tagli dei tassi e la trappola della liquidità

Marco Fabio Delzio

La Repubblica

2008

Enti Pubblici e Derivati. Cosa fare?

Marco Fabio Delzio

Il Sole 24 Ore

2008

Pricing credit risk through equity options (I)

Marco Fabio Delzio

Journal of Risk Finance

2006

Pricing credit risk through equity options (II) – Model Implementation

Marco Fabio Delzio

Journal of Risk Finance

2006