Welcome to my Website!
Welcome to my Website!
Forecasting in Macroeconomics and Finance
Models of Interdependence across Financial Markets
Models of Loss Given Default in Credit Risk
Road Cycling & Hiking
Assistant Professor in Finance at the IÉSEG School of Management
Associate Researcher at Lille Economie Management Laboratory LEM-CNRS
Part of the IQuant IÉSEG Research Group in Quantitative Finance
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
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.
You can find my CV here.
Contact me at: f.roccazzella[at]ieseg.fr
Twitter, LinkedIn and google scholar links are here below