Our
CEO
Dr. Marco Delzio
Dr. Marco Fabio Delzio graduated in Economics and Finance from the LUISS 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
Founder, Managing Partner & CEO
Università LUISS
Guido Carli School of Business
Rome, Italy
2018 - present
Università Sapienza
Rome, Italy
Professor & Scientific Referent
Executive Course of Derivatives Risk Management
Administration, Finance & Management Program
Professor & Scientific Referent
BA.FI Master Banking and Finance
Derivati - I derivati nella PA: finalità, regolamentazione e controversie
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
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