Forecasting in Macroeconomics and Finance
Models of Interdependence across Financial Markets
Models of Loss Given Default in Credit Risk
Hiking & Road Cycling
Road Captain of Brussels Big Brackets Cycling Club
Senior Research Economist at the National Bank of Belgium
I specialize in macroeconomic forecasting and in modeling the interconnections across financial markets. My research also focuses on credit risk modeling, where my recent work incorporates climate‑related risks into Loss Given Default (LGD) frameworks. Across both areas, I study how macro‑financial linkages influence asset prices and shape monetary policy decisions.
My work has been published in leading academic journals, including the European Journal of Operational Research, the Journal of International Money and Finance, the Journal of Forecasting, and the International Journal of Forecasting.
I completed the European Doctoral Program in Quantitative Economics (EDP) at the Université catholique de Louvain, with Universitat Pompeu Fabra as a partner institution. Prior to my doctoral studies, I earned an MSc in Finance and a BSc in Economics and Banking from the University of Siena, as well as an MSc in Money and Finance from the University of Ljubljana.
The usual disclaimer applies: the views expressed in my papers and presentations are my own and do not reflect those of the National Bank of Belgium or the Eurosystem.
Contact me at: francescoroccazzella93[at]gmail.com
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