Paolo Giudici

University of Pavia

Professor

Via San Felice 7

27100 Pavia, 27100

Italy

SCHOLARLY PAPERS

45

DOWNLOADS
Rank 5,867

SSRN RANKINGS

Top 5,867

in Total Papers Downloads

13,655

SSRN CITATIONS
Rank 9,413

SSRN RANKINGS

Top 9,413

in Total Papers Citations

167

CROSSREF CITATIONS

13

Ideas:
“  Statistical methods for machine learning in economics and finance  ”

Scholarly Papers (45)

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 3,961 (5,156)
Citation 11

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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 1,229 (32,381)
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 1,129 (36,480)
Citation 6

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

4.
Downloads 907 (49,761)
Citation 6

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 906 (49,071)
Citation 2

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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 (1,190,077)
Citation 3
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cyber risks, financial institutions, Operational risks, time to discovery, Value-At-Risk

5.

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 661 (75,719)

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

6.
Downloads 447 (122,578)
Citation 22

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 447 (121,254)
Citation 2

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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
Downloads 0
Citation 1
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Bitcoin, cloud services, cryptocurrencies, cyber cost, cyber regulation, cyber risk, financial institutions

7.

How to combine ESG scores? A proposal based on credit rating prediction

Agosto, A., Giudici, P., & Tanda, A. (2023). How to combine ESG scores? A proposal based on credit rating prediction. Corporate Social Responsibility and Environmental Management.
Number of pages: 9 Posted: 02 May 2022 Last Revised: 27 Jun 2023
Arianna Agosto, Paolo Giudici and Alessandra Tanda
University of Pavia, University of Pavia and University of Pavia
Downloads 409 (135,787)
Citation 1

Abstract:

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Bayesian models, Rating models, Sustainable finance

8.

Explainable Artificial Intelligence For Crypto Asset Allocation

Number of pages: 18 Posted: 06 Dec 2021
Golnoosh Babaei and Paolo Giudici
University of Pavia and University of Pavia
Downloads 297 (192,460)

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Machine learning, Shapley values, Robo-advisory

9.
Downloads 267 (214,506)

Measuring AI SAFEty

Number of pages: 21 Posted: 23 Dec 2022
University of Pavia, affiliation not provided to SSRN and Independent
Downloads 224 (253,622)

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Machine Learning, Sustainability, Accuracy, Fairness, Explainability, Finance, Risk, AI Act.

Measuring Ai Safety

Number of pages: 26 Posted: 17 May 2023
University of Pavia, affiliation not provided to SSRN and Independent
Downloads 43 (784,191)

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Machine Learning, Sustainability, Accuracy, Fairness, explainability, Financial risk management

10.

NetVIX - A Network Volatility Index of Financial Markets

Number of pages: 17 Posted: 26 Apr 2020 Last Revised: 27 May 2024
Daniel Felix Ahelegbey and Paolo Giudici
University of Essex - Department of Mathematics and University of Pavia
Downloads 251 (228,073)
Citation 2

Abstract:

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

11.

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 243 (235,401)
Citation 3

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stochastic processes, default probabilities, correlation networks, contagion effects

12.

Crypto Asset Portfolio selection

Number of pages: 9 Posted: 28 Jul 2021 Last Revised: 25 Feb 2022
University of Essex - Department of Mathematics, University of Pavia and Sari Agricultural Sciences and Natural Resources University
Downloads 240 (238,280)
Citation 1

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

13.

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 234 (244,235)
Citation 9

Abstract:

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Shapley values, Lorenz Zonoids, Predictive accuracy

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 and University of Pavia
Downloads 231 (247,144)

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

15.

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 227 (251,407)
Citation 7

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Artificial Intelligence, Lorenz Zonoids, Shapley values, Risk management

16.

SAFE Artificial Intelligence in Finance

Number of pages: 9 Posted: 28 Feb 2023
Paolo Giudici and Emanuela Raffinetti
University of Pavia and University of Pavia
Downloads 194 (290,565)

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Lorenz Zonoids, Accuracy, Explainability, Fairness, Sustainability, Bitcoin price prediction

17.

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 193 (291,943)
Citation 4

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

18.

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 Essex - Department of Mathematics and University of Pavia
Downloads 180 (310,640)
Citation 1

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Applied Bayesian models, Graphical Gaussian Models, Systemic financial risk

19.

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 175 (318,512)
Citation 2

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Artificial Intelligence, Predictive Accuracy, Receiver Operating Characteristic curve

20.

A Factor Clustering Approach To Credit Scoring

Number of pages: 7 Posted: 01 Mar 2022
Daniel Felix Ahelegbey and Paolo Giudici
University of Essex - Department of Mathematics and University of Pavia
Downloads 157 (349,593)

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

21.

Tail Risk Measurement in Crypto-Asset Markets

Number of pages: 17 Posted: 20 Mar 2020
University of Essex - Department of Mathematics, University of Pavia and Sari Agricultural Sciences and Natural Resources University
Downloads 157 (349,593)
Citation 5

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

22.

Safeaipackage: A Python Package for AI Risk Measurement

Number of pages: 61 Posted: 01 Apr 2024
University of Pavia, University of Pavia and University of Pavia
Downloads 150 (362,947)

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Artificial Intelligence Risk Management, Concordance, Lorenz Curves, Ranks, Responsible Artificial Intelligence, Python

23.

Network VAR Models to Measure Financial Contagion

Number of pages: 16 Posted: 23 Feb 2020
University of Essex - Department of Mathematics, University of Pavia and An-Najah National University
Downloads 149 (364,847)

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

24.

Explainable fintech lending

Number of pages: 22 Posted: 26 Jul 2021
University of Pavia, University of Pavia and University of Pavia
Downloads 146 (371,028)
Citation 2

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

25.

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 135 (394,532)
Citation 1

Abstract:

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Cryptocurrencies, Fintech, Stablecoins, Spillover, Variance Decomposition

26.

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 130 (406,400)
Citation 1

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

27.

NetVIX - A Network Volatility Index of Financial Markets

Number of pages: 17 Posted: 05 Oct 2020
Daniel Felix Ahelegbey and Paolo Giudici
University of Essex - Department of Mathematics and University of Pavia
Downloads 120 (431,621)
Citation 1

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

28.

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 117 (439,930)
Citation 1

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

29.

InstanceSHAP: An Instance-Based Estimation Approach for Shapley Values

Number of pages: 17 Posted: 17 Dec 2022
Golnoosh Babaei and Paolo Giudici
University of Pavia and University of Pavia
Downloads 106 (472,917)

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Feature attribution, Shapley values, Machine Learning, Explainability

30.

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 106 (472,917)
Citation 1

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

GPT Classifications, with Application to Credit Lending

Number of pages: 12 Posted: 29 Dec 2023 Last Revised: 08 Jan 2024
Golnoosh Babaei and Paolo Giudici
University of Pavia and University of Pavia
Downloads 56 (696,479)

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Artificial Intelligence; Large Language Models; Credit Decisions

GPT Classifications, with Application to Credit Lending

Number of pages: 12 Posted: 06 Dec 2023 Last Revised: 01 Mar 2024
Golnoosh Babaei and Paolo Giudici
University of Pavia and University of Pavia
Downloads 41 (799,368)

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Artificial Intelligence, Large Language Models, Credit Decisions

32.

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 91 (523,446)
Citation 2

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

33.

Latent Factor Models for Credit Scoring in P2P Systems

Number of pages: 15 Posted: 09 Feb 2019
University of Essex - Department of Mathematics, University of Pavia and University of Pavia - Department of Economics and Management
Downloads 91 (523,446)
Citation 6

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

34.

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 80 (566,379)
Citation 6

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

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 72 (609,880)
Citation 5

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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

36.

Tree Networks to Assess Financial Contagion

Number of pages: 22 Posted: 09 Feb 2019
Daniel Felix Ahelegbey and Paolo Giudici
University of Essex - Department of Mathematics and University of Pavia
Downloads 62 (650,001)

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

37.

A Network Based Fintech Inclusion Platform

Number of pages: 15 Posted: 20 Jul 2022
University of Essex - Department of Mathematics, University of Pavia and University of Trieste
Downloads 57 (676,989)

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COVID-19 Pandemic, Credit Rating models, Financial technologies

38.

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 Essex - Department of Mathematics, University of Pavia and University of Pavia - Department of Economics and Management
Downloads 53 (700,103)
Citation 16

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

39.

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 Essex - Department of Mathematics and University of Pavia
Downloads 45 (751,088)
Citation 2

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

40.

Measuring multidimensional inequality: a proposal based on the Fourier transform

Number of pages: 19 Posted: 20 Nov 2023
University of Pavia, University of Pavia and University of Pavia
Downloads 23 (930,936)

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Inequality measures, Gini index, Fourier transform, Bitcoin exchanges

41.

Explainable Ai for Time Series

Number of pages: 28 Posted: 13 Mar 2024
University of Pavia, University of Pavia, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 21 (950,735)

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Explainable Artificial Intelligence, Shapley Lorenz Values, Time series

42.

Measuring multidimensional inequality: a new proposal based on the Fourier transform

Number of pages: 24 Posted: 13 Feb 2024
University of Pavia, University of Pavia and University of Pavia
Downloads 15 (1,013,115)

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Inequality measures, Gini index, Pietra index, Fourier transform, Scaling property

43.

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

44.

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

45.

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

Other Papers (1)

Total Downloads: 0
1.

Measuring Fairness in Credit Scoring

Posted: 07 Jun 2022 Last Revised: 29 Aug 2023
National University of Singapore (NUS) - Department of Mathematics, University of Pavia, National University of Singapore (NUS) - National University of Singapore (Chongqing) Research Institute and University of Pavia

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Shapley-Lorenz, Artificial Intelligence Credit Scoring, Fairness Test