The Pitch is becoming a standard also in nowadays business world. It grants the possibility to persuade a client, a sponsor or a manager in a very short time, which is crucial in today’s hypercompetitive business environment.

After the first edition of the Award, a new edition has taken place this year. During the Financial Engineering course A.Y. 2020/2021 held by Roberto Baviera, students -divided in 16 teams- were asked to present, using a “Pitch”, their final projects, facing a financial problem simulating a real world situation. Each team recorded a short (3 min) but comprehensive video introducing the problem, the methods and the main results.

Three best pitches were selected among the 16 presented by a jury composed by peers, a commission of practitioners of the financial industry and distinguished academicians. The winners of the AY 2020/2021 Award are:

Bond-CDS spread implied ratings as early warning migrations

How to test the forecasting power of implied ratings arising from Sovereign Bond-CDS market spreads? Is an early warning tool to foresee credit migrations? We consider two supervised Machine Learning techniques: Support Vector Machine and eXtreme Gradient Boosting.

by Pietro Gadaleta, Davide Panone, Raffaele Prioriello

Ref. Paper: Bond-CDS Implied Rating Systems. Colozza, Marmi, Nassigh & Regoli, 2019. Available at SSRN 2512238.

Cost of Funding

The aim of the project is to recover the implicit discount factor in a derivative market using only European put and call prices. For options on the SP500 index, we have statistical evidence of a cost of funding to add on the top of USD OIS curve.

by Claudio Manzoni, Edoardo Villa

Ref. Paper: Synthetic forwards and cost of funding in the equity derivative market. Azzone & Baviera, 2021. Finance Research Letters, 41, 101841. Also available at arXiv:2011.03795.

Corporate Bond Liquidity

The project is based on a simple closed formula that can be used by traders to price illiquid corporate bonds. The formula considers an added premium to compensate for illiquidity; it needs only market inputs and bond’s time-to-liquidate.

by Alessandro Del Vitto, Matteo G. Malighetti, Alessandro M. C. Moneta

Ref. Paper: A closed formula for illiquid corporate bonds and an application to the European market. Baviera, Nassigh & Nastasi, 2021. Journal of International Financial Markets, Institutions and Money, 71, 101283. Also available at arXiv:1901.06855.