Paolo Giudici

University of Pavia - Faculty of Economics

Corso Strada Nuova, 65

27100 Pavia

Italy

SCHOLARLY PAPERS

11

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CITATIONS
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6

Scholarly Papers (11)

1.

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 - Faculty of Economics
Downloads 998 (21,386)
Citation 8

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

2.

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 - Faculty of Economics and Moscow School of Economics, Moscow State University
Downloads 617 (41,712)
Citation 1

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

3.

Hierarchical Graphical Models with Application to Systemic Risk

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 01/WP/2014
Number of pages: 33 Posted: 15 Jan 2014
Daniel Felix Ahelegbey and Paolo Giudici
Boston University - Department of Mathematics and Statistics and University of Pavia - Faculty of Economics
Downloads 123 (227,403)
Citation 1

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Applied Bayesian models, Graphical Gaussian Models, Systemic financial risk

4.

The Multivariate Nature of Systemic Risk: Direct and Common Exposures

Number of pages: 25 Posted: 04 Jun 2016
Paolo Giudici, Peter Sarlin and A. Spelta
University of Pavia - Faculty of Economics, Hanken School of Economics and Independent
Downloads 88 (284,354)
Citation 1

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Bank of International Settlements data, Correlation networks, Exposure networks

5.

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

Number of pages: 38 Posted: 03 Mar 2017 Last Revised: 07 Aug 2017
Pejman Abedifar, Paolo Giudici and Shatha Hashem
University of St Andrews - School of Management, University of Pavia - Faculty of Economics and University of Pavia, Department of Economics and Management Sciences
Downloads 73 (317,896)

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

6.

Measuring Contagion Risk in International Banking

Number of pages: 37 Posted: 04 Aug 2018
Stefan Avdjiev, Paolo Giudici and A. Spelta
Bank for International Settlements (BIS), University of Pavia - Faculty of Economics and Independent
Downloads 31 (456,886)
Citation 1

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

7.

Factorial Network Models To Improve P2P Credit Risk Management

Number of pages: 13 Posted: 02 Apr 2019 Last Revised: 16 May 2019
Boston University - Department of Mathematics and Statistics, University of Pavia - Faculty of Economics and University of Pavia - Department of Economics and Management
Downloads 23 (498,104)

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

8.

Latent Factor Models for Credit Scoring in P2P Systems

Number of pages: 15 Posted: 09 Feb 2019
Boston University - Department of Mathematics and Statistics, University of Pavia - Faculty of Economics and University of Pavia - Department of Economics and Management
Downloads 20 (515,204)
Citation 1

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

9.

Tree Networks to Assess Financial Contagion

Number of pages: 22 Posted: 09 Feb 2019
Daniel Felix Ahelegbey and Paolo Giudici
Boston University - Department of Mathematics and Statistics and University of Pavia - Faculty of Economics
Downloads 18 (526,893)

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

10.

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 - Faculty of Economics
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contagion risk, spatial autoregressive models, European banks

11.

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 - Faculty of Economics
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Citation 2
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extreme value distributions, operational risk management, self-assessment questionnaires, value-at-risk