Monica Billio
Curriculum
Vitae
·Education
·Honors ·Professional experiences
·Research
projects ·Conference organisation
· PhD thesis
supervision ·Refereeing
Current position
Since November 2006, Full Professor of Econometrics,
Department of Economics,
January
1999: PhD in Applied Mathematics, University
Supervisor: Alain Monfort. Committee: Proff. C. Gouriéroux,
E. Renault,
S. Richardson, G. Calzolari, H. van Dijk, A. Monfort
Summa cum laude.
September
1994: DEA M.A.S.E. (Mathématiques Appliquées
aux Sciences Economiques), University
Paris IX
Dauphine.
March
1993: Laurea in Economics, University of
Fellowship Ente "Luigi Einaudi" (
Since
January 1996, Consultant at GRETA
Associati (projects for Eurostat, Arthur Andersen, Nextra).
November
2000 – October 2006: Associate Professor of Econometrics, Department of
Economics,
December
1995 – October 2000: Researcher, Department of Economics,
October
1994 - December 1995: Researcher at CREST (INSEE Paris): Thesis
preparation.
October
1994 - December 1995: "Allocataire de recherche" at University Paris IX Dauphine.
December
1994 - December 1995 : Junior Consultant at
the Caisse Autonome
de Refinancement (Groupe
Caisse des Depôts
et des
Consignations),
April
1993 - September 1993: Research assistant at GRETA Associati,
NBER project on
Market Institutions and Financial Market Risk, Coordinator M. Carey and
R. Stulz, with Andrew Lo, Mila Getmansky and Loriana Pelizzon, 2009-:
Project on
“Funding Liquidity, Crises and Systemic Risk” with Andrew Lo, Mila
Getmansky and Loriana Pelizzon, Inquire Europe grant, 2009-:
CAREFIN
Università Bocconi grant for project “Funding liquidity crisis
and Hedge Fund Risks” with Andrew Lo, Mila Getmansky and Loriana
Pelizzon, 2009-:
EUROSTAT,
Euro-indicators, “Relationship between economic and statistical
approaches in the field of business cycle analysis”, 2008; Joint
Coordination with Tommaso Proietti (Università di Roma Tor
Vergata) and James Mitchel (NIESR, London).
EIB-CREDIT
Network: Research in the credit thematic development at European level,
2008-: Participant.
MIUR project
“Financial variables and business cycle: interdependence and real
effects
of financial fluctuations”, 2006-2008; Coordinator.
EUROSTAT,
Euro-indicators,
“Monitoring and evaluation of existing turning points chronologies of
the
Euro-zone”, 2006-2007; Coordination joint with Jacques Anas (COE Rexecode,
Paris).
EUROSTAT,
Euro-indicators,
“Methodological improvements for the construction of coincident turning
point indicators for the Euro-zone”, 2006-2007; Coordination joint with
Jacques Anas (COE Rexecode,
Paris).
MIUR
project “Econometric modelling for financial and economic integration
in
the Enlarged European Union”, 2004-2006.
EUROSTAT Unit A6 “Turning point chronology for
the Euro-zone”, 2003.
EUROSTAT
Unit A6 “Turning points detection: Multivariate Markov Switching
Models”, 2003.
MIUR
project “Econometric modeling
for financial markets”, 2002-2004.
EUROSTAT
Unit A6 “Construction of realistic proxies for some indicators
unavailable at the Eurozone level: New
Orders,
Building permits, Turnover Index of Services and Volume Index of
Services,
Export Price Index and Import Price Index, Labour Price, Labour
Productivity
and Unit Labour Cost Index, Household Disposable Income”, 2001-2002.
University
of Padua research
project
“Assicurazione sui depositi, scelte dinamiche di portafoglio e
regolamentazione bancaria”, 2000-2002.
MURST
project “Dynamic econometric analysis of systems in transition and
structural changes” 1998-1999.
CNR
project “Comparison between econometric methods applied to financial
data: theory and applications”, 1997-1998.
TACIS
project “Financial Optimization in the New Independent States'
Financial
Institutions”, Re nr. T94-1026-R Partners: Prof. Saltkin
(Imperial College-London), Prof. Zabotin
(State Univ.
of Kazan-Russia), Prof. Yurchyshyn
(International Center of Policy Studies di
Kiev-Ucraina), Prof. Sartore
(GRETA-Venice).
MURST
project “Allocation of pension funds and other financial assets”
1996-1997.
CNR
project “Econometric model of the Italian financial markets”,
1994-1996.
Caisse Autonome
de Refinancement,
Caisse Autonome
de Refinancement,
Human,
Capital and Mobility project (DG XII of European Community) "A
comparison
of econometric techniques for inference based on financial data",
1993-1995, Partners Prof. Schaefer, London Business School (United
Kingdom),
Prof. Nijman Tilburg University
(Netherlands), Prof. Peña, Carlos
III University (Spain), Prof. Gouriéroux,
Centre de Recherche
en Economie et Statistique
(INSEE) (France) and Prof. Sartore, GRETA
Venice
(Italy).
GRETA-TREND,
joint venture on strategic Asset-Liability Management, "Econometric
model
on the risk structure of Italian interest rates", 1993-1994.
Department
of Economics,
Member
Scientific Programme Committee, 4th International Conference on
Computational and Financial Econometrics (CFE'10), December 2010,
London (http://www.cfe-csda.org/cfe10/)
Member
Scientific Program Committee and Local organiser, CREDIT 2010 Credit
Risk, Systemic Risk, and Large Portfolios, September 2010, Venice (http://www.greta.it/credit/credit2010/credit2010.htm)
Member
International Program Committee, 3rd
International Conference on Computational and Financial Econometrics
(CFE'09),
October 2009,
Member
Scientific Program Committee and Local organiser, CREDIT
2009 Financial
Crises, Credit Risk and Macroeconomy, September 2009,
Local
organiser, CREDIT
2008 Liquidity and Credit Risk, September 2008,
Member
Scientific Program Committee, First Workshop of
the ERCIM
Working Group on Computing & Statistics, 19-21 June 2008,
Local organiser,
CREDIT
2007 Credit Ratings, 27-28 September
2007, Scuola Grande di San Giovanni Evangelista, Venice
Member
of the Organising Committee, VIII
Workshop on
Quantitative Finance, January 2007,
Member
Scientific Committee (Program Chair Luc Bauwens),
17th EC 2 Meeting: The Econometrics
of
Monetary Policy and Financial Decision-Making, December 2006,
Local organiser, CREDIT 2006 Risks in Small Business
Lending, 25-26 September 2006, Scuola
Grande di San Giovanni Evangelista,
Local
organiser, CREDIT 2005 Counterparty Credit Risk, 22-23
September 2005, Auditorium Santa Margherita,
Venice
Journal
of Applied Econometrics Conference on Changing Structures in
International and Financial Markets and the Effects on Financial
Decision
Making, 2-3 June 2005, Venice
Local
organiser, CREDIT 2004 Validation of Credit Risk Models, 30
September -1 October 2004, Auditorium Santa Margherita,
Local
organiser, CREDIT 2003 Dependence Modelling for Credit
Portfolios, 22-23
September 2003, Auditorium Santa Margherita,
Venice
Local
organiser, CREDIT 2002 Assessing the Risk of Corporate
Default, 19-20 September 2002, Ateneo
Veneto, Venice
Local
organiser, Econometric Society Winter Meeting, 11-13
January 2001, San Servolo Island,
Massimiliano Caporin “Long Memory Conditional Heteroskedasticity
and Second Order Causality” joint with D. Sartore.
Roberto Casarin
“Simulation Methods for Non-linear and Non-Gaussian Models in
Finance” joint with C.P. Robert.
Fulvio Pegoraro
“Discrete Time Pricing Models with Latent Variables” joint with A. Monfort.
Sara Maniero “Transmission and Contagion in Real and
Financial Markets”, Supervision,
Annales d’Economie et de Statistiques, Computational Statistics and Data Analysis,
Econometrics Journal, Econometric
Theory, Empirical Economics, European
Journal of Operational Research, Journal of Applied Econometrics,
Journal of
Econometrics, Journal of Economic and Business Statistics, Journal of
Empirical
Finance, Journal of Financial Econometrics, Journal of Macroeconomics,
Journal
of Multinational Financial Management, Journal of the Italian
Statistical
Society, Quantitative Finance, Research in Economics, Studies in
Non-linear
Dynamics and Econometrics, The European Journal of Finance, The
European
Physical Journal, International Economic Journal, Journal of
International
Money and Finance, Journal of Forecasting, Emerging Markets Finance and
Trade.
