Curriculum Vitae Giampaolo Gabbi
Giampaolo Gabbi Codice Fiscale: GBB GPL 64L25 E507E Department of Social and Managerial Science Università degli Studi di Siena Piazza S. Francesco 7 53100 Siena, Italy Banking and Insurance Department SDA Bocconi School of Management Via Bocconi 8 20136 Milan, Italy Home address Via Digione 16 43125 Parma, Italy Phone: +39 0577 232667 - +39 0577 235029 Fax: +39 0577 235005 E-mail: gabbi@unisi.it Web site: http://digilander.libero.it/ggabbi/ Phone: +39 02 58366105 - +39 02 5836.6794 Fax: +39 02 5836.6893 E-mail: gabbi@sdabocconi.it Phone: +39 0521 961499 Mobile: +39 335 435866 EDUCATION Institution Degree Field Period University of Parma, Italy B.A. Economics 1989 (final evaluation: 110/110 cum laude) Università Bocconi, Milan, Italy Ph.D. Financial Economics 1993 INSEAD, Fontainebleau, France ITP International Teachers Programme 1994 ACADEMIC POSITION AND TEACHING Institution Role Course Period University of Siena Professor Financial Markets Since 1999 University of Siena Professor Financial Investments and Risk Mgt Since 2008 SDA Bocconi, Milan Professor Banking and Finance Since 1992 SDA Bocconi, Milan Team Leader Risk Management Unit Since 2008 Università Bocconi, Milan Visiting Professor Risk Management with Derivatives 2008-2012 Università Bocconi, Milan Visiting Professor Risk Management and Value in Banking 2010-2011 City University London Visiting Lecturer Financial Regulation 2008-2012 ADMINISTRATION University of Siena: MSc in Finance Director (from 2008-2011); Master in Economics and Banking Director (since 2011);
INTERNATIONAL RESEARCH PROJECTS Forecasting Financial Crises, Measurements, Models and Predictions (FOC) Grant for Collaborative project No. FP7-ICT-2007-0 FET- Open, European Commission. University of Oxford, European Central Bank, City University London, C.N.R. Roma, Università Politecnica delle Marche, Fundació Barcelona Media, Universitat Pompeu Fabra. Financialisation, economy, society and sustainable development (FESSUD) EU Framework Program SSH.2010.1.2-1. Changing the role of the financial system to better serve economic, social and environmental objectives. Coordinator University of Leeds UK; Unit Università degli Studi di Siena; Fondation Nationale des Sciences Politiques France; Berlin School of Economics and Law Germany; Centre for Social Studies, University of Coimbra Portugal; University of Lund Sweden. PUBLICATIONS (2005-2013) 2013. Evolution of Controllability in Interbank Networks (with D. Delpini, S. Battiston, M. Riccaboni, F. Pammolli, G. Caldarelli), Nature Scientific Reports Volume: 3, April, DOI: doi:10.1038/srep01626 2013. Asset Correlation and Bank Capital Adequacy (with P. Vozzella), European Journal of Finance, Volume 19, Number 1, pp. 55-74 2013. Managing Compliance Risk after MiFID (with P. Musile Tanzi, D. Previati, P. Schwizer), Journal of Financial Regulation and Compliance, vol. 21, 1, pp.51 68 2013. L evoluzione delle norme e delle best practice in material di internal governance bancaria (con P. Schwizer) in P. Schwizer (a cura di), Internal Governance. Nuove regole, esperienze e best practice per l organizzazione dei controlli interni nelle banche, EGEA, Milano 2013. Gestire il rischio e creare sviluppo. La nuova sfida in banca, Harvard Business Review, in corso di pubblicazione 2013. La gestione del rischio negli intermediari finanziari, la funzione del Chief Risk Officer e il contributo allo sviluppo economico, Il Mulino Bologna, in corso di pubblicazione 2013. Il ruolo del CRO e il sistema di gestione dei rischi, in P. Schwizer (a cura di), Internal Governance. Nuove regole, esperienze e best practice per l organizzazione dei controlli interni nelle banche, EGEA, Milano 2013. I risultati: la funzione risk management e il ruolo strategico del CRO, in P. Schwizer (a cura di), Internal Governance. Nuove regole, esperienze e best practice per l organizzazione dei controlli interni nelle banche, EGEA, Milano 2012. Risk Management for Italian Non-Financial Firms: Currency and Interest Rate Exposure (with G. Bodnar, C. Consolandi, A. Jaiswal-Dale), European Financial Management, forthcoming 2012. Risk Management Practices and Derivative Usage of Non-Listed and Listed Non-Financial Italian Firms (with G. M. Bodnar, C. Consolandi, A. Jaiswal-Dale), Economia & Management, n. 4. 2011. Regulating Short Selling. The European Framework(s) and the Regulatory Arbitrages (con P. Giovinazzo), in G. Gregoriou (ed.), Short Selling Handbook, Elsevier, New York 2011. How the Investment Industry Compliance Function Measures and Mitigates the Risk, in Managing Compliance Risk after MIFID (ed. Paola Musile Tanzi), SDA Bocconi Research Report
2011. Firm Size and Compliance Costs Asymmetries in the Investment Services (with P. Musile Tanzi and L. Nadotti), Journal of Financial Regulation and Compliance, vol. 19, n. 1: 58-74 2010. Compliance function in banks, investment and insurance companies after MiFID (with P. Musile Tanzi, D. Previati and P. Schwizer), Journal of Financial Transformation, n. 30 2010. Hedging with Futures: Efficacy of GARCH Correlation Models in the European Electricity Markets, (with G. Zanotti), Journal of International Financial Markets, Institutions & Money, n. 1 2010. The model risk in credit management processes, (with G. De Laurentis), in Gregoriou Hoppe - Wehn (eds.) Model Risk Evaluation Handbook, McGraw Hill, New York. 2009. The Black and Litterman optimization framework with higher moments: the case of hedge funds, (with R. Renò and A. Limone), in Stock Market Volatility, Chapman & Hall, Boca Raton, USA 2009. Reputation, Corporate Governance and Ethical Choices, in S. Capece (ed.) 2009, Ethical choices in economics, society and the environment, Luiss University Press, Roma. 2009. Operational Risk Vs. Capital Requirements under New Italian Banking Capital Regulation: Are Small Banks Penalized? A Clinical Study, (with S. Cosma and G. Salvatori), in Operational Risk toward Basel III, Wiley & Sons, New York 2009. Alternative Investments Encyclopaedia, Chapman & Hall/CRC, Boca Raton, USA 2008. The Microstructure of the Italian Overnight Money Market, (with G. Iori et al.), Journal of Economic Dynamics and Control, n. 1 2008. Compliance Risk in the Evolution of the Investment Services: An Empirical Study, (with P. Musile Tanzi et al.), Politeia, 89 2007. Short-Term Interest Rates Volatility and Liquidity Risk, (with C. Caglio and G. Zanotti), in Stock Market Liquidity, Wiley & Sons, New York 2007. Climate Variables and Weather Derivatives. Gas Demand, Temperature and Seasonality Effect, (with G. Zanotti), in Weather, Energy & Environmental Hedging: An Introduction, ICFAI University Press, Hyderabad, India 2006. Portfolio Optimisation under changing risk via time-varying beta, (with R. Bramante), Managerial Finance, n. 4 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 2006. Are Market Crashes Predictable? An Empirical Evidence, Finanza Marketing e Produzione 24 2005. Which factors affect corporate bonds pricing? Empirical evidence from eurobonds primary market spreads, (with A. Sironi), European Journal of Finance, n. 4 2005. Semi-Correlations as a Tool for Geographical and Industrial Asset Allocation, European Journal of Finance, n. 11 CONFERENCES (2004-2012) 2012, Milano (Italy), The Chief Risk Officer, European Banking Authority s Guidelines and Capital Management, Università Statale, ADEIMF Conference, February. 2011, Istanbul (Turkey), Financial Market Conference, September 2011, Rome (Italy), International Finance and Banking Society (IFABS), June-July 2011, Marseille (France), Forecasting Financial Markets, May 2011, Bejing (China), Asian Financial Management, March 2010, New York (USA), FMA Annual Meeting, October 2010, London (UK) 16th International Conference on Computing in Economics and Finance, July
2010, Aarhus (Denmark), EFMA Annual Conference, June 23-26 2010, Udine (Italy) Global Financial Crisis and Management of Financial Intermediaries, June 2010, Viana do Castelo (Portugal) 1st World Finance Conference, 26-28 May 2010, Modena (Italy) Financial Crisis and Capital Adequacy, 29 January 2010, Palermo (Italy), XI Workshop on Quantitative Finance, 28 January 2009, Udaipur (India), 8th International Business & Economy Conference. Best paper award. 2009, Nantes (France), European Financial Management Symposium: Risk Management in Financial Institutions 2009, Milano (Italy), Università Bocconi, How to Face the Challenges of the Current Economic Turmoil 2009, London (UK), Bank of England Financial Stability Seminars. The Interbank Network, Liquidity Risk and Financial Stability 2009, Istanbul (Turkey), 2nd Multinational Energy and Value Conference 2009, Chicago (USA), The Fifty-Eighth Annual Meeting of the Midwest Finance Association (MFA) 2008, Orlando (USA), 15 th annual conference of the multinational finance society 2008, Minneapolis (USA), Advanced research in Finance 2008, Copenhagen (Denmark), Niels Bohr Institute, University of Copenhagen Econophysics: Trends and Challenges, May 8 & 9 2008, Calgary (Canada), Northern Finance Association 2008 Conference, September 5-7 2007, Salt Lake City (USA), Financial management Association Conference 2007, New York (USA), International Forecasting Symposium 2007, Montreal (Canada), Society for Computational Economics 13th International Conference on Computing in Economics and Finance 2006, Santander (Spain), International Symposium on Forecasting 2006, Limassol (Cyprus), Society for Computational Economics 12th International Conference on Computing in Economics and Finance 2006, Amsterdam (The Netherlands), International Conference on Computational Management Science 2005, Washington D.C. (USA), 11th International Conference on Computing in Economics and Finance 2005, Siena (Italy), European Financial Management Association EDITORIAL ACTIVITY Scientific Committee Member of: Economic Notes; Journal of Financial Management, Markets and Institutions; Journal of Financial Perspectives Scientific Referee for: Journal of Banking and Finance; Journal of Economic Behavior & Organization; European Journal of Finance; Asia Pacific Management Review; Journal of Economic Dynamics & Control; Economic Issues; Bancaria; Economia & Management; Journal of International Economics and Finance; Journal of Institutional and Theoretical Economics; Electronic Journal of Applied Statistical Analysis