Paolo Giudici

University of Pavia

Professor

Corso Strada Nuova, 65

27100 Pavia, 27100

Italy

SCHOLARLY PAPERS

26

DOWNLOADS
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6,532

SSRN CITATIONS
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SSRN RANKINGS

Top 26,625

in Total Papers Citations

16

CROSSREF CITATIONS

14

Ideas:
“  Modeling COVID-19 contagion counts for policy purposes  ”

Scholarly Papers (26)

1.

A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics

Number of pages: 5 Posted: 10 Mar 2020 Last Revised: 06 Apr 2020
Arianna Agosto and Paolo Giudici
University of Pavia and University of Pavia
Downloads 3,533 (3,081)
Citation 1

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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 1,011 (23,405)

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

3.

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 627 (45,381)

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

4.

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, Firamis and Firamis
Downloads 363 (89,390)
Citation 2

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

5.

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
Downloads 179 (182,157)
Citation 3

Abstract:

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stochastic processes, default probabilities, correlation networks, contagion effects

6.

Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises

Number of pages: 30 Posted: 26 Apr 2020 Last Revised: 01 Jun 2020
Daniel Felix Ahelegbey and Paolo Giudici
University of Pavia, Department of Economics and Management and University of Pavia
Downloads 138 (226,448)

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

7.

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 135 (230,390)
Citation 1

Abstract:

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Applied Bayesian models, Graphical Gaussian Models, Systemic financial risk

8.

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 92 (302,270)

Abstract:

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

9.

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
Downloads 66 (366,645)
Citation 1

Abstract:

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

10.

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 52 (411,434)

Abstract:

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

11.

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 Milan
Downloads 46 (437,195)

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Shapley values, Lorenz Zonoids, Predictive accuracy

12.
Downloads 45 (441,127)

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 45 (449,686)

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

13.

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 36 (474,923)

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

14.
Downloads 32 (493,725)
Citation 2

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 31 (511,514)

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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 (734,903)
Citation 2
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cyber risks, financial institutions, Operational risks, time to discovery, Value-At-Risk

15.

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 31 (498,626)

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

16.

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 31 (498,626)

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

17.

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 28 (514,444)

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Cryptocurrencies, Fintech, Stablecoins, Spillover, Variance Decomposition

18.

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 25 (531,539)
Citation 2

Abstract:

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

19.
Downloads 22 (549,902)
Citation 4

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 22 (567,793)
Citation 4

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

Abstract:

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

20.

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 19 (568,779)

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

21.

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 12 (614,726)

Abstract:

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

22.

A Rank Graduation Accuracy Measure

Number of pages: 29 Posted: 10 Jan 2020
Arianna Agosto, Paolo Giudici and Emanuela Raffinetti
University of Pavia, University of Pavia and University of Milan
Downloads 9 (635,281)

Abstract:

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Predictive accuracy, Concordance measures, Credit Scoring

23.

Measuring Bank Contagion in Europe Using Binary Spatial Regression Models

Journal of the Operational Research Society, Vol. 68, Issue 12, 2017
Number of pages: 9 Posted: 24 Apr 2018
Raffaella Calabrese, Johan Elkink and Paolo Giudici
University of Essex, University College Dublin (UCD) and University of Pavia
Downloads 0 (719,302)
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contagion risk, spatial autoregressive models, European banks

24.

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

Abstract:

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

25.

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 (719,302)
Citation 2
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extreme value distributions, operational risk management, self-assessment questionnaires, value-at-risk

26.

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