Paolo Stefano Giudici
Professor of Statistics
Department of Economics and Management
University of Pavia
Department of Economics and Management, University of Pavia, Via San Felice 7, 27100 Pavia, Italy
Google scholar page to see papers: https://scholar.google.it/citations?user=ogeVB1kAAAAJ&hl=en
RePEc page to download papers: https://ideas.repec.org/f/pgi259.html
Facebook group: STATECONOMICS
Born in Sondrio (Italy, 1965). Master of Science in Economics, Bocconi University of Milan (1989); Master of Science in Statistics, University of Minnesota (1990); Ph.D. in Statistics, University of Trento (1993). Post-doc research periods at the University of Bristol (1996-1997), at the University of Cambridge (1998) and at the Fields Institute, Toronto (1999).
Full Professor of Statistics at the Department of Economics and Management of the University of Pavia (since 2007; previously Associate Professor, 2000-2006 and Assistant Professor, 1993-1999). Currently lecturer of Statistics (undergraduate level), Financial Risk Management (Masterís level), Big data analysis (PhD level).† Supervisor of 145 Master of Science students in Economics and of 12 Phd students in Statistics and Economics. Most of them currently work in financial companies, consulting/IT companies or in the academia.
Board director of the Credito Valtellinese banking group and, within the board, member of the risk committee (since 2010). Research fellow at the Monetary and Economic department of the Bank of International Settlements, Basel (since 2016).† Research associate in big data analytics at the Deutsche Bundesbank (since 2015), the Italian Statistical Institute (since 2016) and Risk Lab Finland (since 2016). President of the scientific committee and honorary member of the Italian Financial risk management association (since 2013).
Author of 80 papers in internationally refereed statistical journals, three research books and about 100 further articles in books and conference proceedings, with 2710 total citations and an h-index of 24. While all publications can be found in Google Scholar or in RePEc, a selection of ten representative ones follows.
(2016) (Paola Cerchiello, Paolo Giudici, Giancarlo Nicola). Twitter data models for bank risk contagion. To appear in Neurocomputing.
It employs a Bayesian graphical gaussian model to merge market returns and tweet data, and obtain a distress probability for banks, that is corrected by a contagion effect. Applied to largest Italian Banks
(2016) (Paolo Giudici, Laura Parisi). Corisk: measuring systemic risk through default probability contagion. Awarded as best GARP risk management paper at the European Financial Management Conference, Basel.
It proposes a novel measure of systemic risk, for the sovereign, bank and corporate sector of each country, that corrects the interest spread based probability of default with a contagion effect, estimated from a multivariate stochastic process model. Applied to the Euro Area.††
(2016) (Paolo Giudici, Alessandro Spelta). Graphical network models for international financial flows. Journal of Economics and Business statistics, 34, 1, 128-138.
It proposes a correlation network model to study contagion risks between country banking sectors, using the Bank of International Settlements locational banking statistics.