Marcello Minenna (1971) is a civil servant and economist expert in Mathematical Finance. He heads the Quantitative Analysis and Financial Innovation Unit and Direttore dell’Ufficio Analisi Quantitative e Innovazione Finanziaria della Consob and chairs the CEMA MiFID2 Task Force at ESMA. He authored several publications, including:
1. The Incomplete Currency, published by Wiley & Son (2016) with a foreword by Romano Prodi, where he analyses the Eurozone architecture and highlights its critical features and the possible solutions thereto;
2. A Quantitative Framework to Assess the Risk-Return Profile of Non-Equity Products, published by Riskbooks (2009), where he illustrates a set of probability indicators in order to measure financial products’ risks based on the Fundamental Theorem of Asset Pricing;
3. A Guide to Quantitative Finance, published by Riskbooks (2006), a basic scientific text on stochastic finance.
CONSOB | MATHEMATICAL FINANCE IN SUPERVISION AND REGULATION
Quantitative analyses and integrated systems are introduced into the supervisory and regulatory activities as key features of quant enforcement and quant regulation.
1996-1998 | The Early Years
Having passed a national exam, he joins the Enforcement Unit.
The Chairman Tommaso Padoa-Schioppa involves him in ad hoc working groups established at the Treasury, then headed by Minister Carlo Azeglio Ciampi and Director General Mario Draghi.
1999-2005 | The Quant Supervisory Activities, the Regtech and Investors’ Education
After having returned from Columbia University, at the request of the newly-appointed Chairman Luigi Spaventa, he elaborates quantitative analyses to support Consob’s enforcement action, also in cooperation with other European and U.S. regulators.
He develops in-house the Integrated Systems, such as SAIViM, that, via big data analysis, generate tripwires enabling to support an objective supervisory activity.
He resorts to artificial intelligence to articulate a web spidering procedure that detects internet financial frauds, resulting in hundreds of websites being shut down pursuant to D. Lgs. No. 70/2003.
During the same time, he is involved in making and launching investor education videos illustrating in layman’s language structured financial products and offering sample calculators enabling to determine the related risks.
He continues his research in Mathematical Finance and publishes his first book, A Guide To Quantitative Finance.
2006-2009 | The 3-Pillar Supervisory Approach
Consob’s supervision is extended to the risk transparency analysis of bank-assurance products: in 2009, the 3-pillar supervisory approach is enshrined into the Italian regulations. This approach is based on a set of synthetic probability indicators enabling to identify for each non-equity product the minimum investment time horizon, its risk degree and potential returns.
Such metrics are illustrated in another book, A Quantitative Framework to Assess the Risk-Return Profile of Non-Equity Products, presented at several universities, including the Scuola Normale of Pisa, featuring Professor Hélyette Geman as co-discussant.
He is appointed Head of the newly-established Quantitative Analysis Unit.
He is awarded the honor of Cavaliere della Repubblica.
2017-2018 | Organized Crime Fight Group at the Ministry of Justice
He is called to contribute his expertise on Distributed Ledger Technology, encompassing blockchain and crypto-currency analysis, to develop investigation and enforcement means to quash the increasing use of such technology by international criminal organizations.
2015-2016 | Roma Capitale
He is in charge of the economic and financial agenda of Roma Capitale alongside Prefect Francesco Paolo Tronca appointed Special Commissioner. He attempts to continue his work in a technical councilor capacity in the council elected after Special Commissioner Tronca mandate’s completion, but he resigns after a short while.
2014-present | Think Tank Astrid – NENS
He provides quantitative analysis contributions to the working groups’ research activities in the areas of financial system risk management and the Eurozone architecture.
2010-present | CGIL Union
He advises the national secretariat of the CGIL union and of several of its categories
2006-2010 | Local Entities’ Derivatives Risk Regulation Working Group
He is called to advise on the drafting of the risks transparency regulations of derivatives executed by local entities that should have introduced probabilistic scenario analyses.
1999-present | lectures on economic and financial topics at various Italian and foreign universities and specialized structured finance courses for practitioners.
Since 2006 he has been teaching at the Bocconi the course “Topics in Quantitative finance” and since 2015 the course “Advanced derivative pricing and calibration via quadrature” at the London Graduate School of Mathematical Finance, a joint venture between the mathematical finance groups at the main universities in London.
Has the National Scientific Qualification for University Associate Professor in Economics of Financial Intermediaries and Corporate Finance and in Mathematical Methods for Economics and for Actuarial and Financial Sciences.
1999-2003 | Università di Brescia
Ph.D in Mathematical Finance
1998-1999 | Columbia University, New York
Master of Arts in Mathematical Finance
1996 | CPA and Auditor
1994-1995 | Italian Navy
Cadet Officer (Naval Academy and Guard of Honor)
1989-1993 | Università Bocconi
Degree in Economics (Summa cum laude); Mario Monti awarded him the gold medal as the youngest graduate of his course