Research interests

• Machine Learning applied to finance

  • RBMs (Restricted Boltzmann Machines) for non-parametric learning of high-dimensional distributions (forex, credit risk, equity returns)

  • ML-based stress testing for credit portfolios (scenario generation, capital requirements estimation)

  • ML-based pricing of credit derivatives (CDOs, CDXs, CDSs)

• Analytical techniques for large credit portfolio losses

  • Mod-Poisson approximation schemes for CDO pricing

  • Beyond mixture models: concentration inequalities and large deviations theory for Markov Random Fields (MRFs)

• Counterparty risk and CVA in financial networks

  • Propagation of losses and risks on financial networks (specific case study: impact of climate change on EU balance sheets)

  • Continuous-time, endogenous valuation of claims in a financial network (extensions of the Eisenberg-Noe model, network CVA)

Papers

• Coculescu, Visentin
  A default system with overspilling contagion.
  Frontiers of Mathematical Finance, 2024, 3(1): 127-162. [pdf arXiv journal ]

• Méliot, Nikeghbali, Visentin
  Mod-Poisson approximation schemes and higher-order Chen-Stein inequalities.
  Preprint, 2022 [pdf arXiv]

• Méliot, Nikeghbali, Visentin
  Mod-Poisson approximation schemes: Applications to credit risk.
  Preprint, 2022 [pdf arXiv]

• Genovese, Nikeghbali, Serra, Visentin
  Universal approximation of credit portfolio losses using Restricted Boltzmann Machines.
  Preprint, 2022 [pdf arXiv]

• Coculescu, Lupascu-Stamate, Visentin
  Emergence and Evolution of Cooperation for Survival: A Continuous Time Model.
  Preprint 2021 [pdf zora]

• Barucca, Bardoscia, Caccioli, D'Errico, Visentin, Caldarelli, Battiston
  Network valuation in financial systems.
  Mathematical Finance, 30(4), 1181-1204, 2020 [pdf journal]

• Battiston, Mandel, Monasterolo, Schütze, Visentin
  A climate stress-test of the financial system.  
  Nature Climate Change, 7(4), 283-288, 2017  [journal]

• Visentin, Battiston, D'Errico
  Rethinking financial contagion.
  Preprint 2016 [pdf arXiv]

Grants and awards

• Walter Saxes Insurance Prize 2023, ETH Zurich, for my PhD thesis Essays on Portfolio Credit Risk.

• Forschungskredit Nr. FK-19-088 (CHF 57'546) of the University of Zurich for the project: Systemic Risk in Financial Networks.

Talks at conferences

• Dec 2023 - Invited talk at SigmaQAnalytics, Zurich.

• Jul 2023 - Contributed talk at the 7th International Conference Mathematics in Finance, South Africa.

• Jun 2023 - Contributed talk at the MathRisk Conference on Numerical Methods in Finance, Udine.

• Dec 2022 - Invited talk at SigmaQAnalytics, Zurich.

• Dec 2022 - Seminar talk at the Talks in Financial and Insurance Mathematics, ETH Zurich.

• Nov 2022 - Invited talk at the UZH-Roche Workshop, University of Zurich.

• Nov 2021 - Invited talk at the Bernoullis Tafelrunde, University of Basel.

• Jul 2021 - Invited talk at SwissQuant, Zurich.

• Mar 2021 - Invited talk at the Roche-UZH Stochastic Modelling Seminar, Zurich.

• Jul 2020 - Seminar talk at the Department of Physics seminar series, University of Zurich.

• Jun 2020 - Invited talk at SwissQuant, Zurich.

• Nov 2019 - Seminar talk at the Graduate Probability Seminar, University of Zurich.

• Dec 2018 - Contributed talk at the Quantitative Methods in Finance Conference 2018, University of Technology Sydney.

• Apr 2017 - Contributed talk at the Young Researcher Workshop on Robust Mathematical Finance, ETH Zurich.

• Sep 2016 - Contributed talk at the Conference on Complex Systems, Amsterdam.

• Jul 2016 - Contributed talk at the Lipari Summer School on Computational Complex and Social Systems, Lipari.

• Jan 2016 - Contributed talk at the NetSciX Network Science Conference, Wroclaw.