Paolo Stefano Giudici

Professor of Statistics

Department of Economics and Management

University of Pavia

Tel. +39.0382.98.4351


Twitter: giudici_paolo



Department of Economics and Management, University of Pavia, Via San Felice 7, 27100 Pavia, Italy


Twitter: @stateconomist

Google scholar page to see papers:

RePEc page to download papers:

Facebook group: STATECONOMICS


Short biography


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). 


Research profile

Author of 80 papers in internationally refereed statistical journalsthree research books and about 100 further articles in books and conference proceedingswith 2710 total citations and an h-index of 24While 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.

(2016) (Paola Cerchiello, Paolo Giudici). Conditional graphical models for systemic risk estimation. Expert systems with applications, 43, 165-174.

It proposes a hierarchical graphical gaussian model to assess systemic risk contagion, using market returns, balance sheet ratios and macroeconomic variables, for the most important European banks.

(2015) (Raffaella Calabrese, Paolo Giudici). Estimating bank default with generalised extreme value regression models. Journal of the Operational Research Society, pp. 1-10.

It proposes a credit scoring model for financial institutions (that have a very low PD)based on a generalised extreme value link model, and compares it with classic logistic regression. Applied on all European banks.

(2011) (Silvia Figini, Paolo Giudici). Statistical merging of rating models, Journal of the Operational research society, 62, pp. 1067-1074.

It proposes a Bayesian model to merge qualitative with quantitative credit scoring. Applied to a European credit agency database.

(2008) (Luciana Dalla Valle, Paolo Giudici). A Bayesian approach to estimate the marginal loss distributions in operational Risk management. Computational Statistics and data analysis, vol. 52, pp. 3107-3127

It proposes acoherent Bayesian model to integrate operational loss data with self assessed prior opinions. Applied to a medium sized bank.

(2003) (Paolo Giudici) Applied data mining: statistical methods for business and industry, Wiley, London (Italian edition 2001, Chinese edition, 2005)

The first data mining book in economics, that blends machine learning, statistical data analysis and business case studies. It includes six fully worked out case studies, in customer relationship management and financial risk management.

(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. 65, pp 3-55.

It proposes Langevin diffusion based methods that improves the speed of convergence of Markov Chain Monte Carlo algorithms in the Bayesian analysis of complex problems, such as graphical network models.

(1999) (Paolo Giudici, Peter Green). Decomposable graphical gaussian model determination. Biometrika, vol. 86, n.4, pp 785-801.

It proposes a Bayesian model search method over the space of all possible graphical gaussian network models.



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).