Paolo Giudici

University of Pavia

Professor

Via San Felice 7

27100 Pavia, 27100

Italy

SCHOLARLY PAPERS

42

DOWNLOADS
Rank 5,991

SSRN RANKINGS

Top 5,991

in Total Papers Downloads

11,654

SSRN CITATIONS
Rank 12,737

SSRN RANKINGS

Top 12,737

in Total Papers Citations

88

CROSSREF CITATIONS

15

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

Scholarly Papers (42)

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 3,923 (4,351)
Citation 10

Abstract:

Loading...

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 1,125 (31,168)
Citation 1

Abstract:

Loading...

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 963 (38,763)
Citation 6

Abstract:

Loading...

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 646 (66,423)

Abstract:

Loading...

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

5.
Downloads 550 (81,327)
Citation 4

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 549 (80,595)
Citation 1

Abstract:

Loading...

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 (1,016,193)
Citation 3
  • Add to Cart

Abstract:

Loading...

cyber risks, financial institutions, Operational risks, time to discovery, Value-At-Risk

6.
Downloads 408 (116,340)
Citation 9

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 408 (115,237)
Citation 2

Abstract:

Loading...

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
  • Add to Cart

Abstract:

Loading...

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

7.

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 246 (199,265)

Abstract:

Loading...

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 238 (205,731)

Abstract:

Loading...

Machine learning, Shapley values, Robo-advisory

9.

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 226 (216,277)
Citation 3

Abstract:

Loading...

stochastic processes, default probabilities, correlation networks, contagion effects

10.

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 222 (219,993)
Citation 2

Abstract:

Loading...

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

11.

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 214 (227,701)

Abstract:

Loading...

Portfolio Selection, Tail Risk, Extreme Downside Hedge, Systemic risk, Systematic 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 206 (235,805)
Citation 2

Abstract:

Loading...

Shapley values, Lorenz Zonoids, Predictive accuracy

13.

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 184 (261,052)
Citation 4

Abstract:

Loading...

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

14.

Measuring Fairness in Credit Scoring

Number of pages: 27 Posted: 07 Jun 2022
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
Downloads 166 (285,394)
Citation 1

Abstract:

Loading...

Shapley-Lorenz, Artificial Intelligence Credit Scoring, Fairness Test

15.

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 165 (286,832)
Citation 1

Abstract:

Loading...

Applied Bayesian models, Graphical Gaussian Models, Systemic financial risk

16.

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 161 (292,855)

Abstract:

Loading...

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

17.

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 159 (295,988)

Abstract:

Loading...

Artificial Intelligence, Lorenz Zonoids, Shapley values, Risk management

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 137 (333,907)
Citation 3

Abstract:

Loading...

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

19.

Explainable fintech lending

Number of pages: 22 Posted: 26 Jul 2021
University of Pavia, University of Pavia and University of Pavia
Downloads 130 (349,585)
Citation 2

Abstract:

Loading...

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

20.

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 129 (349,585)
Citation 2

Abstract:

Loading...

Cryptocurrencies, Fintech, Stablecoins, Spillover, Variance Decomposition

21.

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 124 (360,034)
Citation 1

Abstract:

Loading...

Artificial Intelligence, Predictive Accuracy, Receiver Operating Characteristic curve

22.

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 116 (377,937)

Abstract:

Loading...

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

23.

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 116 (377,937)
Citation 1

Abstract:

Loading...

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

24.

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 115 (380,239)

Abstract:

Loading...

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

25.

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 111 (390,074)
Citation 1

Abstract:

Loading...

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

26.
Downloads 98 (425,521)

Measuring AI SAFEty

Number of pages: 21 Posted: 23 Dec 2022
University of Pavia, affiliation not provided to SSRN and Independent
Downloads 91 (449,908)

Abstract:

Loading...

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 7 (965,238)

Abstract:

Loading...

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

27.

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 93 (440,034)

Abstract:

Loading...

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

28.

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 93 (440,034)
Citation 1

Abstract:

Loading...

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

29.

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 80 (482,528)
Citation 1

Abstract:

Loading...

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

30.

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 78 (489,644)

Abstract:

Loading...

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

31.

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 76 (496,989)
Citation 2

Abstract:

Loading...

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

32.

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 72 (512,156)

Abstract:

Loading...

Feature attribution, Shapley values, Machine Learning, Explainability

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 57 (587,025)
Citation 5

Abstract:

Loading...

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:

Loading...

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

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 56 (581,611)
Citation 2

Abstract:

Loading...

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

35.

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 56 (581,611)

Abstract:

Loading...

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

36.

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 45 (639,061)
Citation 6

Abstract:

Loading...

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

37.

A Network Based Fintech Inclusion Platform

Number of pages: 15 Posted: 20 Jul 2022
University of Pavia, Department of Economics and Management, University of Pavia and University of Trieste
Downloads 35 (700,389)

Abstract:

Loading...

COVID-19 Pandemic, Credit Rating models, Financial technologies

38.

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 35 (700,389)
Citation 2

Abstract:

Loading...

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

39.

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

Abstract:

Loading...

Predictive accuracy, Concordance measures, Credit Scoring

40.

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:

Loading...

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

41.

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 (982,410)
Citation 2
  • Add to Cart

Abstract:

Loading...

extreme value distributions, operational risk management, self-assessment questionnaires, value-at-risk

42.

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:

Loading...

Bank of International Settlements data, Correlation networks, Exposure networks