Investment Certificates & Innovation: An Intesa Sanpaolo & Numerix Case Study
Investment certificates are flexible, structured financial instruments that provide investors with tailored risk-return profiles, making them popular in both the European and Italian markets. These instruments are particularly attractive for their ability to combine elements of traditional securities with derivatives to meet specific investment goals, such as capital protection, income generation, or leveraged exposure.
However, when dealing with more complex certificates with underlying assets like total return indices without market implied volatility, and when "composite forex" effects are also involved, estimating the implied volatility surface can become a challenging task. Quantitative practitioners often turn to advanced model libraries like those offered by Numerix which can handle the unique modelling requirements and payoffs of these instruments in order to price and manage their risk.
Join Alessandro Manini and Samuele Marafin of Intesa Sanpaolo, along with Martina Nicolao of Numerix, as they discuss the investment certificate market and delve into how Numerix analytics were utilized by Intesa Sanpaolo to model new types of investment certificates.
The presenters cover:
- Overview of the European and Italian markets for investment certificates
- Intesa Sanpaolo and market trends
- Quantitative case study: modelling hybrid approaches to estimate a composite total return index’s implied volatility
- Validation tests of Numerix libraries
- How Numerix analytics are used for the valuation of structured products
Featured Speakers
Alessandro Manini
Alessandro Manini has held a number of roles in sales and structuring during his career, with a focus on structured products, hedging and investment solutions. Alessandro currently focuses in designing and delivering tailored investment solutions that cater to the evolving needs of institutional and retail clients.
Alessandro has contributed over the years to expand Intesa Sanpaolo's presence and competitiveness in the structured products market, with the launch of innovative financial products, ensuring alignment with regulatory standards and market trends. Prior to Intesa Sanpaolo and Banca IMI, Alessandro worked at Merrill Lynch.
Samuele Marafin
Dr. Marafin works as a quantitative analyst (quant) in model validation for pricing derivatives across various asset classes such as equity, forex, commodity derivatives. His role involves several key activities: 1) identifying model assumptions, 2) validating model accuracy, 3) mitigating financial model risk, 4) prototyping financial engineering libraries, and 5) testing vendor libraries.
In addition to these technical activities, Dr. Marafin brings experience from the asset management industry, where he specializes in portfolio optimization and risk management. He works closely with portfolio managers, quant analysts, software engineers, and quant developers to identify key financial market risk factors, implement solutions, and optimize trading strategies to enhance portfolio performance and mitigate risk. Additionally, he has showcased his expertise through lectures and presentations at a variety of prestigious academic and industry conferences.
Dr. Marafin’s educational background started with a Bachelor's degree in Economics from Cà Foscari University. Following this, he pursued a second-level International Master's degree in Economics, Finance, and Data Science at Venice International University. Dr. Marafin further advanced his expertise in quantitative finance by earning the Certificate in Quantitative Finance (CQF), a program founded by Paul Wilmott and delivered by Fitch Learning. Additionally, he achieved a Certificate in Applied Data Science, focusing on Leveraging AI for Effective Decision Making, awarded by the prestigious Massachusetts Institute of Technology (MIT).
Martina Nicolao
Martina Nicolao is a Financial Engineer at Numerix, based in Milan, Italy. She helps clients by developing financial solutions for modeling, pricing and risk management of multi-asset portfolios. She holds a Bachelor’s degree and a Master’s degree in Mathematical Engineering from Politecnico di Milano with a specialization in Quantitative Finance.
Greg Murray
Greg Murray is responsible for increasing awareness of the Numerix brand in financial markets around the globe, as well as conducting strategic industry research for different departments within Numerix. Previously, he oversaw product and field marketing initiatives at the company, and he started his tenure in a sales role. Prior to Numerix, Mr. Murray worked in derivative analytics sales roles at other software firms, and he held derivative trading positions for seven years as an option market-maker and proprietary trader across a variety of asset classes.
