Stefano Renzitti

S&P Global

Stefano Renzitti is the head of financial engineering research with the Financial Risk Analytics group at S&P Global. He has worked on a variety of topics including researching and developing efficient numerical methods for the calculation of xVA and xVA sensitivities on portfolios of both vanilla and exotic trade types, multi-curve yield curve construction, and exotic trade representation and pricing.

Articles by Stefano Renzitti

Original research

Emulating the Standard Initial Margin Model: initial margin forecasting with a stochastic cross-currency basis

The authors propose a stochastic cross-currency basis model extension to resolve the impact of missing risk factors when estimating initial margin and margin valuation adjustments in cross-currency basis swaps.

10 Aug 2023

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