Paolo Giudici

University of Pavia

Professor

Via San Felice 7

27100 Pavia, 27100

Italy

SCHOLARLY PAPERS

37

DOWNLOADS
Rank 6,378

SSRN RANKINGS

Top 6,378

in Total Papers Downloads

9,462

SSRN CITATIONS
Rank 17,113

SSRN RANKINGS

Top 17,113

in Total Papers Citations

48

CROSSREF CITATIONS

15

Ideas:
“  Statistical models to make predictions, manage risks and improve sustainability  ”

Scholarly Papers (37)

1.

A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics

Number of pages: 5 Posted: 10 Mar 2020 Last Revised: 22 Aug 2021
Arianna Agosto and Paolo Giudici
University of Pavia and University of Pavia
Downloads 3,882 (3,655)
Citation 9

Abstract:

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Contagion, Covid-19, Poisson autoregressive models

2.

Copulae and Operational Risks

International Journal of Risk Assessment and Management, Forthcoming
Number of pages: 17 Posted: 11 Nov 2006
University of Milan - Department of Economics, Business and Statistics, Moscow School of Economics, Moscow State University and University of Pavia
Downloads 1,054 (28,957)
Citation 1

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Copula, Two-step estimation, Operational Risk, VaR, Expected Shortfall

3.

Explainable Machine learning in Credit Risk Management

Number of pages: 21 Posted: 10 Jan 2020 Last Revised: 02 Jul 2020
University of Pavia, University of Pavia, Munich Reinsurance Company, Financial Solutions and NVIDIA GmbH
Downloads 820 (41,180)
Citation 6

Abstract:

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Credit risk management, Explainable AI , Financial Technologies , Similarity networks, Financial Networks, Machine Learning

4.

Enhanced Credit Default Models for Heterogeneous SME Segments

Journal of Financial Transformation, Forthcoming
Number of pages: 48 Posted: 24 Mar 2009
University of Pavia, University of Pavia - Department of Political Economy and Quantitative Methods, University of Pavia and Moscow School of Economics, Moscow State University
Downloads 634 (57,922)

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Longitudinal models, Bayesian panel models, Credit risk, Default probability, Loss function

5.
Downloads 356 (115,677)
Citation 5

The Drivers of Cyber Risk

BIS Working Paper No. 865
Number of pages: 45 Posted: 02 Jun 2020
Bank for International Settlements (BIS), Bank for International Settlements (BIS), University of Pavia and University of Pavia - Department of Economics and Management
Downloads 356 (114,874)
Citation 2

Abstract:

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cyber risk, cloud services, financial institutions, bitcoin, cryptocurrencies, cyber cost, cyber regulation

The Drivers of Cyber Risk

CEPR Discussion Paper No. DP14805
Number of pages: 44 Posted: 28 May 2020 Last Revised: 01 Jun 2020
Bank for International Settlements (BIS), Bank for International Settlements (BIS), University of Pavia and University of Pavia - Department of Economics and Management
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Citation 1
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Bitcoin, cloud services, cryptocurrencies, cyber cost, cyber regulation, cyber risk, financial institutions

6.
Downloads 285 (146,571)
Citation 3

Operational and Cyber Risks in the Financial Sector

BIS Working Paper No. 840
Number of pages: 39 Posted: 09 Mar 2020
Bank for International Settlements (BIS), Bank for International Settlements (BIS), University of Pavia and University of Pavia - Department of Economics and Management
Downloads 284 (146,373)

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operational risks, financial institutions, cyber risks, time to discovery, value-at-risk

Operational and Cyber Risks in the Financial Sector

CEPR Discussion Paper No. DP14418
Number of pages: 39 Posted: 03 Mar 2020
Bank for International Settlements (BIS), Bank for International Settlements (BIS), University of Pavia and University of Pavia - Department of Economics and Management
Downloads 1 (894,432)
Citation 3
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cyber risks, financial institutions, Operational risks, time to discovery, Value-At-Risk

7.

CoRisk: Measuring Systemic Risk Through Default Probability Contagion

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 54 Posted: 30 May 2016
Paolo Giudici and Laura Parisi
University of Pavia and European Central Bank (ECB)
Downloads 207 (199,877)
Citation 3

Abstract:

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stochastic processes, default probabilities, correlation networks, contagion effects

8.

NetVIX - A Network Volatility Index of Financial Markets

Number of pages: 17 Posted: 26 Apr 2020 Last Revised: 07 Aug 2021
Daniel Felix Ahelegbey and Paolo Giudici
University of Pavia, Department of Economics and Management and University of Pavia
Downloads 191 (215,046)
Citation 2

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Centrality, COVID-19, Density, Financial Crises, Financial Networks, VAR

9.

A Statistical Model to Monitor COVID-19 Contagion Growth

Number of pages: 18 Posted: 07 May 2020
University of Pavia, Centre for European Policy Studies (CEPS), University of Pavia and Centre for European Policy Studies (CEPS)
Downloads 172 (235,355)
Citation 2

Abstract:

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Contagion models, COVID-19, Poisson Autoregressive models, Reproduction number

10.

Explainable Artificial Intelligence For Crypto Asset Allocation

Number of pages: 18 Posted: 06 Dec 2021
Golnoosh Babaei and Paolo Giudici
University of Pavia - Department of Economics and Management and University of Pavia
Downloads 158 (253,957)

Abstract:

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Machine learning, Shapley values, Robo-advisory

11.

Bayesian Selection of Systemic Risk Networks

Number of pages: 37 Posted: 15 Jan 2014 Last Revised: 30 Mar 2020
Daniel Felix Ahelegbey and Paolo Giudici
University of Pavia, Department of Economics and Management and University of Pavia
Downloads 150 (263,616)
Citation 1

Abstract:

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Applied Bayesian models, Graphical Gaussian Models, Systemic financial risk

12.

Shapley-Lorenz Decompositions in eXplainable Artificial Intelligence

Number of pages: 15 Posted: 13 Mar 2020
Paolo Giudici and Emanuela Raffinetti
University of Pavia and University of Pavia
Downloads 143 (273,917)
Citation 2

Abstract:

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Shapley values, Lorenz Zonoids, Predictive accuracy

13.

Crypto Asset Portfolio selection

Number of pages: 9 Posted: 28 Jul 2021 Last Revised: 25 Feb 2022
University of Pavia, Department of Economics and Management, University of Pavia and Sari Agricultural Sciences and Natural Resources University
Downloads 131 (292,756)

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Portfolio Selection, Tail Risk, Extreme Downside Hedge, Systemic risk, Systematic risk.

14.

Which SME is worth an investment? An explainable machine learning approach

Number of pages: 13 Posted: 24 Mar 2021
Golnoosh Babaei and Paolo Giudici
University of Pavia - Department of Economics and Management and University of Pavia
Downloads 113 (326,047)

Abstract:

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Credit Risk Management, Explainable AI, Expected Return, Financial Technologies

15.

Libra or Librae? Basket Based Stablecoins to Mitigate Foreign Exchange Volatility Spillovers

Number of pages: 24 Posted: 13 Mar 2020 Last Revised: 20 Mar 2020
Paolo Giudici, Thomas Leach and Paolo Pagnottoni
University of Pavia, University of Pavia - Department of Economics and Management and University of Pavia - Department of Economics and Management
Downloads 109 (334,253)
Citation 2

Abstract:

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Cryptocurrencies, Fintech, Stablecoins, Spillover, Variance Decomposition

16.

Network VAR Models to Measure Financial Contagion

Number of pages: 16 Posted: 23 Feb 2020
University of Pavia, Department of Economics and Management, University of Pavia and An-Najah National University
Downloads 101 (351,726)

Abstract:

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Financial Contagion, Network Models, VAR, Bank Lending, Financial Markets

17.

NetVIX - A Network Volatility Index of Financial Markets

Number of pages: 17 Posted: 05 Oct 2020
Daniel Felix Ahelegbey and Paolo Giudici
University of Pavia, Department of Economics and Management and University of Pavia
Downloads 95 (365,608)
Citation 1

Abstract:

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Centrality, COVID-19, Financial Crises, NetVIX, Turbulence, VAR, VIX

18.

Tail Risk Measurement in Crypto-Asset Markets

Number of pages: 17 Posted: 20 Mar 2020
University of Pavia, Department of Economics and Management, University of Pavia and Sari Agricultural Sciences and Natural Resources University
Downloads 95 (365,608)
Citation 2

Abstract:

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Crypto-Assets, Extreme Downside Hedge, Extreme Downside Correlation, Network Models, Systematic Risk, Systemic Risk

19.

Bayesian Time-Varying Autoregressive Models of COVID-19 Epidemics

Number of pages: 27 Posted: 10 Aug 2021
Paolo Giudici, Barbara Tarantino and Roy Arkaprava
University of Pavia, University of Pavia and University of Florida
Downloads 89 (380,894)

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Bayesian models, B-splines, COVID-19 disease, PARX models, INGARCHX models, NPI covariates.

20.

Shapley Lorenz Values for Artificial Intelligence Risk Management

Number of pages: 20 Posted: 09 Mar 2021
affiliation not provided to SSRN, affiliation not provided to SSRN, University of Pavia and University of Pavia
Downloads 82 (400,069)

Abstract:

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Artificial Intelligence, Lorenz Zonoids, Shapley values, Risk management

21.

Network Models to Improve Robot Advisory Portfolio Asset Allocation

Number of pages: 25 Posted: 18 Mar 2020
Paolo Giudici, Gloria Polinesi and Alessandro Spelta
University of Pavia, affiliation not provided to SSRN and University of Pavia - Department of Economics and Management
Downloads 76 (417,805)

Abstract:

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Correlation networks, Network centrality, Portfolio optimization, Random Matrix theory

22.

Correlation Networks to Measure the Systemic Implications of Banks Resolution

Number of pages: 30 Posted: 15 Aug 2017
Paolo Giudici and Laura Parisi
University of Pavia and European Central Bank (ECB)
Downloads 74 (423,946)
Citation 1

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Bail-In, CDS Spreads, Financial Networks, Systemic Risk

23.

Explainable fintech lending

Number of pages: 22 Posted: 26 Jul 2021
University of Pavia - Department of Economics and Management, University of Pavia and University of Pavia
Downloads 71 (433,636)

Abstract:

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Credit Risk Management, Explainable AI, Financial Technologies, Random Forest models.

24.

Network Self-Exciting Point Processes To Measure Health Impacts of COVID-19

Number of pages: 28 Posted: 12 Aug 2021
Paolo Giudici, Paolo Pagnottoni and Alessandro Spelta
University of Pavia, University of Pavia - Department of Economics and Management and University of Pavia - Department of Economics and Management
Downloads 57 (483,883)

Abstract:

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COVID-19, Epidemic Modelling, Hawkes Process, Interconnectedness, Mobility Networks.

25.

Latent Factor Models for Credit Scoring in P2P Systems

Number of pages: 15 Posted: 09 Feb 2019
University of Pavia, Department of Economics and Management, University of Pavia and University of Pavia - Department of Economics and Management
Downloads 55 (491,729)

Abstract:

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Credit Risk, Factor Models, Financial Technology, Peer-to-Peer, Scoring Models, Spatial Clustering

26.

A generalised ROC curve

Number of pages: 48 Posted: 12 Jul 2021
Emanuela Raffinetti and Paolo Giudici
University of Pavia and University of Pavia
Downloads 48 (521,498)

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Artificial Intelligence, Predictive Accuracy, Receiver Operating Characteristic curve

27.

Tree Networks to Assess Financial Contagion

Number of pages: 22 Posted: 09 Feb 2019
Daniel Felix Ahelegbey and Paolo Giudici
University of Pavia, Department of Economics and Management and University of Pavia
Downloads 42 (549,582)

Abstract:

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Financial Crisis, Graphical Lasso, Inter-Country Contagion, Inter-Institutional Contagion, Sovereign Crisis, Sparse Covariance Selection

Measuring Contagion Risk in International Banking

BIS Working Paper No. 796
Number of pages: 40 Posted: 12 Aug 2019
Stefan Avdjiev, Paolo Giudici and Alessandro Spelta
Bank for International Settlements (BIS), University of Pavia and University of Pavia - Department of Economics and Management
Downloads 38 (582,495)
Citation 5

Abstract:

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international banking, contagion risk, multi-layer networks, tensor decompositions

Measuring Contagion Risk in International Banking

Posted: 04 Aug 2018
Stefan Avdjiev, Paolo Giudici and A. Spelta
Bank for International Settlements (BIS), University of Pavia and Independent

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Banking, Contagion Risk, Multi-Layer Networks, Tensor Decompositions

29.

Cyber Risk Ordering With Rank-Based Statistical Models

Number of pages: 22 Posted: 08 Jan 2021
Paolo Giudici and Emanuela Raffinetti
University of Pavia and University of Pavia
Downloads 36 (580,437)
Citation 2

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Cyber Attacks, Concordance Measures, Operational Risks, Ordinal Data, Rank Regression

30.

A Factor Clustering Approach To Credit Scoring

Number of pages: 7 Posted: 01 Mar 2022
Daniel Felix Ahelegbey and Paolo Giudici
University of Pavia, Department of Economics and Management and University of Pavia
Downloads 30 (614,755)

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Clustering, Credit Scoring, Factor Models, FinTech, P2P Lending, Segmentation

31.

Factorial Network Models To Improve P2P Credit Risk Management

Frontiers in Artificial Intelligence, Vol. 2, Article 8, 2019
Number of pages: 13 Posted: 02 Apr 2019 Last Revised: 26 Aug 2019
University of Pavia, Department of Economics and Management, University of Pavia and University of Pavia - Department of Economics and Management
Downloads 26 (640,619)
Citation 6

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Credit Risk, Factor models, Fintech, Peer-to-Peer lending, Credit Scoring, Lasso, Segmentation

32.

Tail Risk Transmission: A Study of Iran Food Industry

Number of pages: 17 Posted: 01 Jun 2020
Sari Agricultural Sciences and Natural Resources University, Sari Agricultural Sciences and Natural Resources University, University of Pavia, Department of Economics and Management and University of Pavia
Downloads 25 (647,402)
Citation 2

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Food industry, Extreme downside hedge, Extreme downside correlation, Systematic risk, Systemic risk.

33.

How to combine ESG scores

Number of pages: 14 Posted: 02 May 2022
Arianna Agosto, Paolo Giudici and Alessandra Tanda
University of Pavia, University of Pavia and University of Pavia
Downloads 17 (706,806)

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Bayesian models, Rating models, Sustainable finance

34.

A Rank Graduation Accuracy Measure

Posted: 10 Jan 2020
Arianna Agosto, Paolo Giudici and Emanuela Raffinetti
University of Pavia, University of Pavia and University of Pavia

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Predictive accuracy, Concordance measures, Credit Scoring

35.

Heterogeneous Market Structure and Systemic Risk: Evidence from Dual Banking Systems

Posted: 03 Mar 2017 Last Revised: 02 Nov 2019
Pejman Abedifar, Paolo Giudici and Shatha Hashem
University of St Andrews - School of Management, University of Pavia and University of Pavia, Department of Economics and Management Sciences

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Graphical network models, Islamic banking, Partial correlations, Systemic risk Measures

36.

Bayesian Operational Risk Models

Journal of Operational Risk, Vol. 10, No. 2, 2015
Number of pages: 16 Posted: 01 Jul 2016
Silvia Figini, Lijun Gao and Paolo Giudici
University of Pavia, Shandong University of Finance and Economics and University of Pavia
Downloads 0 (874,031)
Citation 2
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extreme value distributions, operational risk management, self-assessment questionnaires, value-at-risk

37.

The Multivariate Nature of Systemic Risk: Direct and Common Exposures

Posted: 04 Jun 2016
Paolo Giudici, Peter Sarlin and A. Spelta
University of Pavia, Hanken School of Economics and Independent

Abstract:

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Bank of International Settlements data, Correlation networks, Exposure networks