giudici-paolo

Paolo Giudici

Master’s degree in Economics from Bocconi University (1989), Master’s degree in Statistics from the University of Minnesota (1990), PhD in Statistics from the University of Trento (1993). Post-doc researcher in computational statistics at the University of Bristol (1997-1998) and at Cambridge University (1999-2000). Full Professor of Statistics and Data Science at the Department of Economics and Management of the University of Pavia, where he has supervised about 150 Master’s students and 12 Phd students. Most of them currently work in the financial industry, in IT consulting companies or as academic researchers. Director of the University of Pavia Data science laboratory which carries out research and consulting projects, for leading institutions. Indipendent member of the board of directors of the Credito Valtellinese banking group; Research fellow at the Bank for International Settlements; Advisory Board member for the Blockchain Based Account Bank; Honorary member and President of the scientific committee of the Association of the Italian Financial Industry Risk Managers.

Correlation networks to measure the systemic implications of banks resolution
di Paolo Giudici e Laura Parisi

Posted in: Articolo

Set 15 2017
Abstract We propose a market-based, early warning measure of credit risk able to enhance the observed CDS spreads with a risk premium that derives from contagion by means of a correlation network model. We then combine the proposed measure with balance-sheet information and liabilities composition, ...more »