Paolo Giudici


Paolo is Full Professor of Statistics at the Department of Economics and Management of the University of Pavia, Italy, and Board director of Credito Valtellinese Banking Group. He is a research fellow at the Bank of International Settlements (Basel), a research associate in big data analytics working groups at the Deutsche Bundesbank and the Italian Statistical Institute, and the President of the scientific committee of the Italian Financial Risk Management Association. Paolo received his PhD (Statistics) from the Department of Economics at the University of Trento in 1993. He also holds a Master’s degree in Economics from Bocconi University (1989) and a Master’s degree in Statistics from the University of Minnesota (1990). He has been a expert and consultant in data mining and financial risk management for many service companies, such as Accenture, Kpmg, Sas Institute, Sky, Unicredit, Intesa SanPaolo, Monte dei Paschi di Siena, Ubi Banca and Banco Popolare.Paolo’s research in the 90’s was focused on the mathematical and statistical aspects of expert systems and multivariate network models. In the 2000’s on data mining applications: Paolo’s book Applied data mining, Wiley, was the first book that applied data mining methods to business and industry. In parallel with his consulting experience,Paolo’s research interests have then shifted to financial risk management models and, lately, on network models for systemic risk modelling of financial data, both numerical (financial rations, market prices) and textual (big data, expert opinions).

Work in progress

  • The multivariate nature of systemic risk: direct and common exposures (with Peter Sarlin and Alessandro Spelta).
  • Corisk: a partial correlation model to measure systemic risk (with Laura Parisi)
  • Hierarchical network big data models for systemic risk (with Paola Cerchiello and Giancarlo Nicola)
  • Systemic risk of dual banking systems (with Shatha Hashem)

Selected publications