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: FINTECH DATA SCIENCE
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 and Data Science at the Department of Economics and Management of the University of Pavia (since 2007; previously Associate Professor, 2000-2006 and Assistant Professor, 1993-1999). Supervisor of about 150 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 Credito Valtellinese banking group and, within the board, member of the risk committee (since 2010). Research fellow at the Bank of International Settlements, Basel, Monetary and Economic department (since 2016). Principal investigator of several data science projects for the financial industry, in particular with: Accenture, KPMG, SAS Institute, Intesa San Paolo, Unicredit, Banco BPM, UBI, Monte dei Paschi di Siena, Banca Popolare di Sondrio, Credito Valtellinese, Metro, Mondadori, Opera Multimedia, Sky. Currently advisor for the Bank Account Based Blockchain, the Deutsche Bundesbank, the Italian Statistical Institute ISTAT, the Italian Markets Authority CONSOB. President of the scientific committee and honorary member of the Italian Financial risk management association (since 2013).
Author of about 190 publications, among which 72 in internationally refereed journals, with 2887 total citations and an h-index of 24. The corresponding research profile is that of a financial data scientist focused on methodological research, especially in Bayesian statistics, Graphical network models and MCMC computational methods, and on its application to financial industry problems such as Customer relationship, Operations quality and Financial risk assessment. A selected list of publications follows.
20. (2017) Raffaella Calabrese, Johan Elkink, Paolo Giudici. Measuring bank contagion using binary spatial regression models. To appear in Journal of the Operational Research Society.
19. (2017) Paola Cerchiello, Paolo Giudici, Giancarlo Nicola: Twitter data models for bank risk contagion. To appear in Neurocomputing
18. (2016) Paola Cerchiello, Paolo Giudici. Conditional graphical models for systemic risk estimation. Expert systems with applications. Vol. 43, pp. 165-174
17. (2016) Paolo Giudici, Alessandro Spelta. Graphical network models for international financial flows. Journal of Business and Economic Statistics, 34 (1), pp. 126-138.
16. (2015) Raffaella Calabrese, Paolo Giudici. Estimating bank default with generalised extreme value regression models. Journal of the Operational Research society (2015) , pp. 1-10.
15. (2014) Paola Cerchiello, Paolo Giudici. On a statistical H-index. Scientometrics, 99 pp. 299-312.
14 .(2011) (Silvia Figini, Paolo Giudici). Statistical merging of rating models, Journal of the Operational Research society, vol- 62, pp. 1067-1074.
13. (2011) (Viviana Calzati, Paolo Giudici, Eleonora Lorenzini) Territorial brands for tourism development: a statistical analysis on the Marche Region in Italy. Annals of Tourism research vol. 38, n.2, 540-560
12. (2008) (Luciana Dalla Valle, Paolo Giudici). A Bayesian approach to estimate the Marginal loss distributions in Operational Risk management. Computational Statistics and data analysis, 52, 3107-3127
11. (2003) (Paolo Giudici) Applied data mining: statistical methods for business and industry. Wiley, London. Chinese translation, 2005. Second edition (with Silvia Figini), 2009. Italian editions: Mc Graw Hill 2001, 2005.
10. (2003) (Steve Brooks, Paolo Giudici, Anne Philippe). Non parametric convergence assessment for MCMC model selection. Journal of computational and graphical statistics, vol. 12, n.1, pp.1-22
9. (2003) (Steve Brooks, Paolo Giudici, Gareth Roberts). Efficient construction of reversible jump MCMC proposal distributions (with discussion). Journal of The Royal Statistical Society, series B, vol. 1 (65), pp 3-55.
8. (2003) (Robert Castelo, Paolo Giudici) Improving MCMC model search for data mining. Machine learning, vol. 50, n. 1-2, pp 127-158
7. (2002) (Paolo Giudici, Gianluca Passerone) Data Mining of association structures to model consumer behaviour. Computational Statistics and data analysis, vol. 38, n.4, pp 533-541
6. (2001 (Robert Castelo, Paolo Giudici) Association models for web mining. Data mining and Knowledge discovery, vol. 5, n.3, pp. 183-196
5. (2001) (Paolo Giudici, Elena Stanghellini) Bayesian Inference for graphical factor analysis models. Psychometrika, vol. 66, n.4, pp. 577-592
4. (2000) (Steve Brooks, Paolo Giudici) MCMC Convergence Assessment via Two-way ANOVA. Journal of computational and graphical statistics, vol. 9, pp. 266-273
3. (2000) Paolo Giudici, Tobias Ryden, Pierre Vandekerkhove, 32). Likelihood-ratio tests for hidden Markov models. Biometrics, vol. 56, pp. 742-747
2. (2000) (Paolo Giudici, Leo Knorr-Held, Gunter Rasser) Modelling categorical covariates in Bayesian disease mapping. Statistics in medicine, vol. 19, pp. 2579-2593.
1.(1999) (Paolo Giudici, Peter Green). Decomposable graphical gaussian model determination. Biometrika, vol. 86, n.4, pp 785-801.
Funded projects. Principal investigator of ten competitive research projects, with a total funding of about 1,450,000 euro, mostly employed to hire young researchers. Among them: MUSING (Multivariate semantic based business intelligence, VI framework EU programme, 2006-2010); MISURA (Multivariate statistical models for risk assessment, Italian Ministry of Research PRIN grant, 2013-2016); Technologies for an integrated promotion of the Valtellina district (Cariplo Foundation, 2010-2014). Principal investigator for several research consulting projects with the financial industry.
Invited talks. Presenter of several invited talks. In particular, at the following Institutions: University of Washington, Seattle (1997); Isaac Newton Institute, Cambridge (1998); Siemens AG, Munich (1999); Trinity College, Dublin (2000); Max-Planck Institute for Physics, Munich (2001); Royal Statistical Society, London (2002); SAMSI Institute, Duke University (2003); University of Leuven (2003); University Rey Carlos III of Madrid (2003); ETH Politechnic of Zurich (2004); SAS Institute, Las Vegas (2005,2006); Barclays Bank, London (2006); Imperial College of London (2007); Swedish Statistical Society (2007); Science and Letters Accademy, Milan (2007); Credit research centre, Edinburgh (2008, 2013); Tunisian Statistical Society (2010); Academia Sinica, Taipei (2011); University of California at Berkeley (2012); EU Joint Research Centre, Ispra (2012); European Central Bank, Frankfurt (2014); Italian Parliament (2014, 2015); Canadian Statistical Society (2015); Deutsche Bundesbank, Frankfurt (2015); Big data value Association, Den Haag (2016); Bank of International Settlements, Basel (2016); Bank of Italy (2016); Frankfurt School of Finance and Management (2017); Generali (2017).