Roberto Savona

Professor of Banking and Finance

University of Brescia

Department of Economics and Management

Address:

Università degli Studi di Brescia

Dipartimento di Economia e Management

C.da S. Chiara, 50

25122 Brescia (Italy)

e-mail: roberto.savona@unibs.it

tel.: +39 030 2988557

fax: +39 030295814

Recent Works

Learning about Unprecedented Events: Agent-Based Modelling and the Stock Market Impact of COVID-19 (with Davide Bazzana and Michele Colturato), Finance Research Letters, Volume 56, September 2023, 104085.
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-time Macro Fundamentals, and CDS Spreads (with Pierluigi Balduzzi and Lucia Alessi), Journal of Financial Econometrics, Volume 21, Issue 5, Autumn 2023, 1728–1758.
Bank business models, negative policy rates, and prudential regulation, Annals of Finance, Volume 18, 355–392 (2022).
Dynamical Corporate Finance – An Equilibrium Approach (with Umberto Sagliaschi), Springer – Contributions to Finance and Accounting, 2021.
Machine learning for financial stability (with Lucia Alessi), in (eds.) Sergio Consoli, Diego Reforgiato Recupero, Michaela Saisana, Data Science for Economics and Finance – Methodologies and Applications, Springer, 2021, 65-87.
Taking the Right Course Navigating the ERC Universe (with Cesare Orsini), Journal of Asset Management, 2019, 20, 157–174.
Sovereign Risk Zones in Europe During and After the Debt Crisis (with Veni Arakelian, Petros Dellaportas, Marika Vezzoli), Quantitative Finance, Volume 19, Issue 6, 2019, 961-980.
Mutual Funds Dynamics and Economic Predictors (with Gianni Amisano), Journal of Financial Econometrics 15(2), 2017, 302-330.
Danger Zones for Banking Crises in Emerging Markets (with Paolo Manasse and Marika Vezzoli), International Journal of Finance & Economics, 2016, Volume 21, Issue 4, 360–381.
Sovereign and Hedge Fund Systemic Risks (with Enrico Ciavolino), Journal of Alternative Investments, Spring 2016, Vol. 18, No. 4: pp. 98-108.
Corporate Default Prediction Model Averaging: A Normative Linear Pooling Approach (with Silvia Figini and Marika Vezzoli), Intelligent Systems in Accounting, Finance and Management, 2016, Vol. 23, Issue 1-2-, 6-20.
Financial Symmetry and Moods in the Market (with Maxence Soumare and Jørgen Vitting Andersen), PLoS ONE, 10(4): e0118224, 2015, 1-21.
Fitting and Forecasting Sovereign Default Using Multiple Risk Signals (with Marika Vezzoli), Oxford Bulletin of Economics and Statistics, 77 (1), 2015, 66-92.