Valentina Macchiati

I am a PhD student in Data Science, under the supervision of Prof. Diego Garlaschelli and Dott. Piero Mazzarisi. I am studying the dynamical and structural stability of real and reconstructed financial networks. I am currently analysing the dynamical stability of reconstructed interbank networks via a maximum entropy approach (Fitness models). During my PhD, I attended courses such as Advanced Methods for Complex Systems (Prof. D. Garlaschelli), Time Series Econometrics (Prof. F. Corsi), Mathematical Models for Quantitative Finance: Market Microstructure, Networks, and Systemic Risk (Prof F. Lillo). I also participated in NetSci2020 Conference where I presented the work "Systemic liquidity contagion in the European interbank market" in a regular talk. In this project, we propose a model which relies on an epidemic model (SI model) which simulates a contagion on the interbank market using the funding liquidity shortage mechanism as a contagion process. The model is enriched with country and bank risk features which take into account the heterogeneity of the interbank market.

Previously, I completed my bachelor’s degree in Physics at the University of Camerino, in 2016. Then I completed my master’s degree in Physics of Complex Systems at the University of Turin, in 2019. I was also awarded a Postgraduate Erasmus+ Scholarship for Traineeship (4 months) at King’s College Financial Mathematics Group. Both my Master’s thesis and Erasmus traineeship project focus on contagion processes on interbank market networks. I worked under the supervision of D. Paolotti (ISI Foundation, Turin and University of Turin), G. Cimini (Università degli Studi di Roma Tor Vergata, Rome) and T. Di Matteo (King’s College, London).