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
Research Economist at the National Bank of Belgium
My research has two main focuses. On the one hand, I work on macroeconomic forecasting and modeling the interconnections across financial markets. On the other hand, I focus on credit risk modeling, with recent work incorporating climate risk considerations into Loss Given Default (LGD) models. Across both areas, I examine their implications for asset prices and monetary policy.
My papers have been published in leading finance and operational research journals, including:
European Journal of Operational Research
Journal of International Money and Finance
Journal of Forecasting
International Journal of Forecasting
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.
I obtained 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 at UCLouvain, 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.
Contact me at: francescoroccazzella93[at]gmail.com
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