Giampaolo Gabbi

SDA Professor of Banking and Insurance

giampaolo.gabbi@sdabocconi.it

Via Bocconi 8, room 223 20136 MILANO

Tel +39 02-5836.6105/.6794

Fax +39 02-5836.6893

Curriculum Vitae

Degree in Economics and Commerce, University of Parma, 1988.
Ph.D. in Business Administration, Bocconi University, 1993.
The Best Executive Education Open Programs Teacher - Executive Education Open Programs Division - 2008.

Academic position and/or Professional activities
Full Professor of Financial Markets and Investments, University of Siena
Visiting Professor of “Financial Regulation” at City University London

Research Interests

• Risk management
• Financial market forecasting
  
• Payment systems

PUBLICATIONS

Books

• 2010. The model risk in credit management processes, con G. De Laurentis, in Gregoriou – Hoppe - Wehn (eds.) Model Risk Evaluation Handbook, McGraw Hill, New York
• 2009. Operational Risk Vs. Capital Requirements under New Italian Banking Capital Regulation: Are Small Banks Penalized? A Clinical Study, con S. Cosma e G. Salvatori, in Operational Risk toward Basel III, Wiley & Sons, New York
• 2009. The Black and Litterman optimization framework with higher moments: the case of hedge funds, con R. Renò e A. Limone, in Stock Market Volatility, Chapman & Hall/CRC, Boca Raton, USA
• 2009. Alternative Investments Encyclopaedia, Chapman & Hall/CRC, Boca Raton, USA
• 2009. Reputation, Corporate Governance and Ethical Choices, in S. Capece (a cura di)
• 2009, Ethical choices in economics, society and the environment, Luiss University Press, Roma
• 2009. La term structure, in G. Gandolfi (ed), Scelta e gestione degli investimenti finanziari, Bancaria editrice, Roma
• 2008. Servizi di family office e soluzioni organizzative: le implicazioni per l’offerta bancaria, con S. Capece, in C. Devecchi – G. Fraquelli (a cura di), Dinamiche di sviluppo e internazionalizzazione del family business, Il Mulino, Bologna
• 2007. Climate Variables And Weather Derivatives. Gas Demand, Temperature and Seasonality Effect, con G. Zanotti, in Weather, Energy & Environmental Hedging: An Introduction, ICFAI University Press, Hyderabad, India
• 2007. Short-Term Interest Rates Volatility and Liquidity Risk, co C. Caglio e G. Zanotti, in Stock Market Liquidity, Wiley & Sons, New York
• 2007. I modelli previsionali nell’attività di private banking, in P. Musile Tanzi (a cura di), Manuale del Private Banker, V edizione, EGEA, Milano
• 2006. International Mutual Fund Returns and Monetary Policy, in International Mutual Funds, Palgrave-Macmillan, New York
• 2006. Correlation Breakdowns in Asset Management, in Risk and Portfolio Management, Palgrave-Macmillan, New York
  

Articles

• 2010. Hedging with Futures: Efficacy of GARCH Correlation Models in the European Electricity Markets, con G. Zanotti, Journal of International Financial Markets, Institutions & Money
• 2010. Il risk management nel leasing, factoring e credito al consumo, in Economia & Management, n. 1
• 2009. Rischi operativi e piccole banche: the black swan, con S. Cosma e G. Salvadori, Bancaria, n. 3
• 2008. The Microstructure of the Italian Overnight Money Market, con G. Iori, Journal of Economic Dynamics and Control, n. 1
• 2008. Compliance Risk in the Evolution of the Investment Services: An Empirical Study, con P. Musile Tanzi, Politeia, n. 89
• 2008. Il rischio di concentrazione bancario: vigilanza, misurazione e gestione, con R. Maino, A. Resti, E. Serata, Economia & Management, n. 3
• 2007. La specificità del rischio nel wealth management, Economia & Management, n. 5
• 2006. Are Market Crashes Predictable? An Empirical Evidence, Finanza Marketing e Produzione n. 242006. Portfolio Optimisation under changing risk via time-varying beta, con R. Bramante, Managerial Finance, n. 4
• 2005. Semi-Correlations as a Tool for Geographical and Industrial Asset Allocation, European Journal of Finance, n. 11
• 2005. Which factors affect corporate bonds pricing? Empirical evidence from eurobonds primary market spreads con A. Sironi, European Journal of Finance, n. 4.
  
  

SDA Bocconi Activities

Executive Programs

• MISURARE E GESTIRE IL RISCHIO OPERATIVO NELLE BANCHE E NELLE ASSICURAZIONI