Personal website of Roberto Calogero Panzica

Roberto currently works as a Senior Research Economist at the Bank of Portugal, in the Financial Stability Department. His research contributes to macroprudential regulation, focusing on topics such as stress testing and contagion dynamics, climate-related stress tests, and the cost of credit. 

Previously, he served as an Economist and Scientific Officer at the European Commission’s Joint Research Centre in Ispra. In that role, he worked on sustainable finance, with a focus on understanding green bond pricing dynamics, key drivers, and the effectiveness of instruments in both primary and secondary markets. Within the empirical asset pricing framework, Roberto also investigated how markets price  risk factor related to green assets.

He co-organised the first five editions of the Summer School on Sustainable Finance at the Joint Research Centre.

During his PhD, at Goethe University in Frankfurt, Roberto developed a deep interest in network theory as a tool to explore systemic risk. His research sought to distinguish between systematic and systemic risk, and to understand the conditions under which idiosyncratic risks can aggregate into systemic threats. In his thesis, he extended a standard multifactor asset pricing model by incorporating information on asset interconnections.