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: BIG DATA IN FINANCE AND ECONOMICS
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) and the Italian Statistical Institute (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 representative ones follows.
23. (2016) Paola Cerchiello, Paolo Giudici, Giancarlo Nicola: Twitter data models for bank risk contagion. To appear in Neurocomputing.
22. (2016) Paola Cerchiello, Paolo Giudici. Conditional graphical models for systemic risk estimation. Expert systems with applications,. Vol. 43, pp. 165-174.
21. (2016) Paolo Giudici, Alessandro Spelta. Graphical network models for international financial flows. Journal of Business and Economic Statistics, 34 (1), pp. 126-138.
20. (2015) Raffaella Calabrese, Paolo Giudici. Estimating bank default with generalised extreme value regression models. Journal of the Operational Research society, pp. 1-10.
19. (2014) Paola Cerchiello, Paolo Giudici. On a statistical H-index. Scientometrics, 99 pp. 299-312.†
18 .(2012) (Paola Cerchiello, Paolo Giudici). Non parametric statistical models for on-line text classification. Advances in Data Analysis and Classification. vol. 6, issue 4, pages 277-288
17. (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.†
16. (2011)† (Silvia Figini, Paolo Giudici). Statistical merging of rating models, Journal of the operational research society, vol- 62, pp. 1067-1074.
15. (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
14. (2007) (Elvio Bonafede, Paolo Giudici), Bayesian networks for enterprise risk assessment. Physica A: Statistical Mechanics and its applications vol. 382, n.1, pp 22-28.
13. (2004) (Annalisa Bilotta, Paolo Giudici) Modelling operational losses: a bayesian approach. Quality and reliability engineeering international, vol. 20, n.5, pp. 407-417
12. (2004) (Chiara Cornalba, Paolo Giudici) Statistical models for operational risk management. Physica A: Statistical Mechanics and its applications, vol. 338, n.1-2, pp.166-172
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) (Roberto Castelo, Paolo Giudici) Improving MCMC model search for data mining. Machine learning, vol. 50, n. 1-2, pp 127-158
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 (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
7. (2001) (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) Paolo Giudici, Tobias Ryden, Pierre Vandekerkhove, 32). Likelihood-ratio tests for hidden Markov models. Biometrics,† vol. 56, pp. 742-747
3. (2000) (Steve Brooks, Paolo Giudici) MCMC Convergence Assessment via Two-way ANOVA. Journal of computational† and graphical statistics, vol. 9, pp. 266-285
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.
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).
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). †