PANZICA Roberto Calogero

Cultore della materia
Sito web (scheda personale)
Dipartimento di Economia
Sito web struttura:

 Current position

Doctorate candidate (Dr. rer. pol.) Goethe University Frankfurt am Main
Research and Teaching Assistant – Chair of Law and Finance
Research Center SAFE
House of Finance  Goethe University  
Grüneburgplatz 1,  60323 Frankfurt am Main  Germany
Current fields of research
Empirical Asset Pricing, Systemic Risk & Financial Stability, Aggregation of idiosyncratic volatility,
Network measures, Network visualizations, Contagion, Big Data.
Doctorate (PhD) in Finance, Goethe University Frankfurt, Germany
Thesis: Network topology and Systemic risk
Supervisor: Prof. Loriana Pelizzon, PhD, Chair for Law & Finance, Goethe
University Frankfurt
9/2010-9/2011 International Master Economic & Finance, Ca’ Foscari University of Venice,
10/2005-4/2008 M.Sc. Industrial Engineering and Management,University of Catania, Italy,
(First Class of Hons)
10/2002-4/2005 B.A.
Work experience
12/2016-6/2017 Ph.D Trainee, European Central Bank, European Systemic Risk Board, Frankfurt
a.M., Germany.
Analyzing the EMIR data for the trade repositories (DTCC, REGIS);
Identifying systemic risks to financial stability in the EU arising from developments
within financial markets and financial market infrastructures;
Pyhton, R, Matlab and STATA are used for the data analysis and cleaning
10/2013-to date Researcher, SAFE Center of Excellence, Goethe University Frankfurt a.M.,
5-9/2013 Researcher, University of Venice, Italy.
”Sovereign, bank and insurance credit spread”.
Development and management of High frequency data through SAS programming
language, R and Matlab languages;
Statistical analysis and econometric measures of connectedness based on
principalcomponents analysis and Granger causality networks between the
changes of sovereign risk of European countries and credit risk of major US
and European banks and insurance companies.
3/2012-3/2013 Researcher, University of Padua, Italy. ”Software applications for performance
evaluation and the risk of financial investments: definition of risk factors,
sensitivity to extreme risk and attribution of performance”:
Creating software for the ”Performance Attribution” of managers in the management
of a financial portfolio;
Development and management of data through SAS programming language,
matlab, visual basic language (VBA) and statistical analysis.
9/2011-3/2012 Trainee, GRETA, Venice, Italy.
Creation and development of SAS programs for the management of the data;
Statistical Bond Analysis in US Market and Indian Market
Studied the network bond structure through graph theory and complex network
using Matlab,Wolframe Mathematica ,R, SAS, MySql softwares, Venice,
2-9/2010 Junior Project Manager, Business Consultant, Caltanissetta, Italy.
Managed and developed environmental projects in order to get safety certification
Ohsas 18001 and ISO14001;
Liaised with local clients managing relationships and requirements.
9/2008-12/2009 Health & Safety manager assistant, Fiat Group, Palermo, Italy.
Assisted head of prevention and protection services in order to obtain
OHSAS 18001 certification;
Created an excel file to improve internal risk and valuation process;
Managed and supplemented a data base of chemical product;
Set up a Power point presentation for World Class Manufacturing about
safety pillar.
Research Projects
Network Connectivity, Systemic and Systematic Risk, sponsored by LOEWE SAFE Center of Excellence
(2014 - 2017)
Dealer and MM network in the CDS and cash sovereign bond market, with Pelizzon Loriana and Peltonen
Tuomas, sponsored by LOEWE SAFE Center and European Systemic Risk Board (2017)
Presentations at Conferences & Seminars
CFE-CM statistics, 09-11 December, Seville, Spain, 2016
CFE-CM statistics, 12-14 December, London, UK 2015
RiskLab/BoF/ESRB Conference on Systemic Risk Analytics 24-25 September, Helsinki, Finland, 2015
Italian Congress of Econometrics and Empirical Economics, 21-23 January, Salerno, Italy, 2015
CFE-ERCIM 06-08 December, Pisa,Italy,2014
Society for Economic Measurement(SEM) 18-20 August Chicago, USA, 2014
IFORS, 13-18 July, Barcelona, Spain, 2014
International Symposium on Forecasting, 29 June - 02 July, Rotterdam, the Netherlands, 2014
Teaching Experience
Systemic Risk (Ph.D seminar), TA for Prof. Dr. Pelizzon Loriana, Winter Term 2015, Goethe University
Hedge Fund and Investment (Master Course), TA for Prof. Dr. Pelizzon Loriana, Winter Term 2014,
2015, Goethe University Frankfurt (Matlab Tutorial);
Bachelor and Master Theses Supervision.
Expert: Matlab, R, Excel, STATA, LaTeX, Office, SAS;
Intermediate: Python, SQL, VBA, Mathematica, Minitab;
Basic: Autocad, Sap.
Languages: Italian (native), English (fluent), German (Intermediate), Spanish (Basic)