Paolo Giudici

University of Pavia

Professor

Via San Felice 7

27100 Pavia, 27100

Italy

SCHOLARLY PAPERS

30

DOWNLOADS
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SSRN RANKINGS

Top 6,777

in Total Papers Downloads

7,913

SSRN CITATIONS
Rank 18,117

SSRN RANKINGS

Top 18,117

in Total Papers Citations

43

CROSSREF CITATIONS

15

Ideas:
“  Risk management models to improve the sustainability of artificial intelligence applications  ”

Scholarly Papers (30)

1.

A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics

Number of pages: 5 Posted: 10 Mar 2020 Last Revised: 20 Jul 2020
Arianna Agosto and Paolo Giudici
University of Pavia and University of Pavia
Downloads 3,827 (3,106)
Citation 6

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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 1,024 (26,018)
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 Re and NVIDIA GmbH
Downloads 691 (44,974)
Citation 6

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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 631 (50,663)

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

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 (ECB)
Downloads 193 (188,381)
Citation 3

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stochastic processes, default probabilities, correlation networks, contagion effects

6.
Downloads 177 (203,431)
Citation 4

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 177 (203,432)
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

7.

NetVIX - A Network Volatility Index of Financial Markets

Number of pages: 25 Posted: 26 Apr 2020 Last Revised: 29 Mar 2021
Daniel Felix Ahelegbey and Paolo Giudici
University of Pavia, Department of Economics and Management and University of Pavia
Downloads 174 (206,419)
Citation 2

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

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 164 (217,040)

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

9.

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 144 (241,766)
Citation 1

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Applied Bayesian models, Graphical Gaussian Models, Systemic financial risk

10.
Downloads 119 (279,750)
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 118 (282,731)

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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 (799,569)
Citation 3
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cyber risks, financial institutions, Operational risks, time to discovery, Value-At-Risk

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 Pavia
Downloads 95 (326,049)
Citation 2

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Shapley values, Lorenz Zonoids, Predictive accuracy

12.

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 88 (342,172)
Citation 1

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Cryptocurrencies, Fintech, Stablecoins, Spillover, Variance Decomposition

13.

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 76 (373,123)

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

14.

NetVIX - A Network Volatility Index of Financial Markets

Number of pages: 24 Posted: 05 Oct 2020
Daniel Felix Ahelegbey and Paolo Giudici
University of Pavia, Department of Economics and Management and University of Pavia
Downloads 71 (387,479)
Citation 1

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

15.

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 68 (396,576)
Citation 1

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

16.

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 63 (412,757)
Citation 1

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

17.

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 46 (475,688)

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

18.

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 37 (515,981)

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Artificial Intelligence, Lorenz Zonoids, Shapley values, Risk management

19.

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 36 (520,728)

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

20.

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 35 (525,854)

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

21.

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 34 (531,025)

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

22.
Downloads 30 (552,163)
Citation 5

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 30 (566,743)
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

23.

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 (582,330)
Citation 6

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

24.

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 Pavia
Downloads 23 (595,252)
Citation 1

Abstract:

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Predictive accuracy, Concordance measures, Credit Scoring

25.

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 22 (601,862)
Citation 2

Abstract:

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

26.

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 20 (622,092)

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

27.

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 (781,880)
Citation 1
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contagion risk, spatial autoregressive models, European banks

28.

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

29.

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 (781,880)
Citation 2
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extreme value distributions, operational risk management, self-assessment questionnaires, value-at-risk

30.

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

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Bank of International Settlements data, Correlation networks, Exposure networks