Luciana Dalla Valle

Dr Luciana Dalla Valle - (Luciana Dalla Valle)

Job title: Lecturer in Applied Statistics, School of Computing and Mathematics (Faculty of Science and Technology)
Postal address: Room 208, 2 Kirkby Place, Drake Circus,
Plymouth, Devon, PL4 8AA
Telephone: +441752586319
Facsimile: +44 (0)1752 586900
Email: luciana.dallavalle@plymouth.ac.uk

Role

Lecturer in Statistics at the School of Computing and Mathematics, Plymouth University, since January 2012.

Qualifications & background

I obtained a PhD in Statistics from the University of Milano-Bicocca (Italy) in 2007, with the thesis "Statistical Models for Enterprise Risk Evaluation". I also got a BSc (Hons) in Economics in 2002, with the thesis "The Risk Metrics model for market risk: analysis with SAS Risk Dimensions".

I have been visiting PhD student at the Statistical Laboratory, Department of Pure Mathematics and Mathematical Statistics (DPMMS), Faculty of Mathematics, University of Cambridge (UK) (2005-2006).

I have been visiting researcher at the Technische Universitat Munchen, Zentrum Mathematik (Germany) (2009) and at the Universidad de Navarra, Facultad de Ciencias Econòmicas y Empresariales, Departamento de Métodos Cuantitativos, Pamplona (Spain) (2010).

I have been Post Doctoral Fellow at the Department of Economics, Business and Statistics of the University of Milan (Italy) (2007-2011).

Previously I worked as a Lecturer in Applied Statistics at the Centre for Health & Environmental Statistics, Plymouth University (2011).

Professional membership

Secretary of the South West Local Group of the Royal Statistical Society (RSS), since 2012.

Member of the Exeter Initiative for Statistics and its Applications (ExIStA), since 2011.

Member of the Italian Statistical Society (SIS), since 2003.

Teaching interests

I have taught basic and advanced courses in Statistics with laboratories in IBM SPSS, Excel, R and SAS in various universities.

UoP Modules

ABF306 Quantitative Finance;

STAT3100 Statistics in Context (Risk Management);

SPSS short course, Graduate School;

PSY245 Workshops (Statistics for Psychology).

Other teaching

Member of the IBM SPSS Italy training staff (since 2009).

Research interests

Bayesian Statistics, Markov Chain Monte Carlo methods, statistical models for financial risks, Copula Modeling for financial Applications, statistical models for internationalisation, Sampling techniques, Beta Autoregressive Processes.

Grants & contracts

I have obtained several grants for national and international research projects from the Universidad de Navarra (Spain), from the TUM Munich (Germany), from the University of Milan (Italy) and from the University of Pavia (Italy).

Publications

Articles in Refereed International Journals

(2012) (with R. Casarin and F. Leisen) Bayesian Model Selection for Beta Autoregressive Processes. Bayesian Analysis, forthcoming.

(2011) (with G. Nicolini) Errors in Customer Satisfaction Surveys and Methods to Correct Self-Selection Bias. Quality Technology & Quantitative Management, Vol. 8, No. 2, pp. 167-181.

(2010) (with F. Leisen) A new multinomial model and a zero variance estimation. Communications in Statistics-Simulation and Computation, vol. 39, n. 4, pp. 846-859.

(2009) Bayesian Copulae Distributions, with Application to Operational Risk Management, Methodology and Computing in Applied Probability, vol.11, No.1, pp. 95-115.

(2008) (with P. Giudici) A Bayesian approach to estimate the marginal loss distributions in operational risk management, Computational Statistics and Data Analysis, vol.52, pp. 3107-3127.

(2008) (with D. Fantazzini and P. Giudici) Copulae and Operational Risks, International Journal of Risk Assessment and Management, Vol. 9, No. 3, pp. 238-257.

Refereed Book Chapters

(2011) (with G. Nicolini) Census and sample surveys, in: Modern Analysis of Customer Surveys, with Applications Using R, ed. Ron S. Kenett and Silvia Salini, Statistics in Practice Series, John Wiley & Sons, chap. 3, pp. 37-53.

(2010) Measuring Operational Risk in a Bayesian Framework, in: Rethinking Risk Measurement and Reporting. Uncertainty, Bayesian Analysis and Expert Judgement, ed. Klaus Boecker, Risk Books, London, chap. 14, pp. 395-422.

(2008) Data Mining for Internationalization, in: Encyclopedia of Data Warehousing and Mining, ed. J. Wang, pp. 424-430.

(2007) (with D. Fantazzini and P. Giudici) Empirical studies with operational loss data: Dalla Valle, Fantazzini and Giudici study, in: Operational risk: a guide to Basel II capital requirements, models, and analysis, A. S. Chernobai, S. T. Rachev, F. J. Fabozzi, John Wiley & Sons, pp. 274-277.

Refereed Conference Proceedings

(2011) (with G. Nicolini) Copula Functions to Model Self-Selection Bias: a Bayesian Approach, Survey Research Methods and Applications, Proceedings of the Second ITAlian COnference on Survey Methodology, ed. Plus - Pisa University Press, Pisa, pp. 61-64.

(2009) (with G. Nicolini) The Problem of non Random Samples in Customer Satisfaction Surveys, Book of Short Papers, 7-th Meeting of the Classification and Data Analysis Group of the Italian Statistical Society, ed. S. Ingrassia and R. Rocci, CLEUP, Padova, pp. 369-372.

Reports & invited lectures

Communications at seminars

"Beta Autoregressive Processes: Bayesian Parameter Estimation and Model Selection", RSS South West Local Group, Plymouth University (December 2011).

"Copula functions and their application in the financial field", University of Pavia, Department of Political Economics and Quantitative Methods (May 2011).

"Copula functions to model self-selection bias: a Bayesian approach", University of Brescia, Department of Economics (October 2010).

"Measuring Operational Risk in a Bayesian Framework", Universidad Publica de Navarra, Departamento de Estadistica e Investigacion Operativa, Pamplona, Spain (April 2010).

"A New Multinomial Model and a Zero Variance Estimation", Technische Universitaet Muenchen, Zentrum Mathematik, Munich, Germany (June 2009).

"Bayesian Copulae: Application to Operational Risk Management", Technische Universitaet Muenchen, Zentrum Mathematik, Munich, Germany (November 2008).

"Bayesian Copulae for Operational Risk", University of Milan, Department of Economics, Business and Statistics (November 2006).

"MCMC Copulae for Operational Risk", University of Pavia, Department of Political Economics and Quantitative Methods (May 2006).

Invited presentations at congresses

"Model selection for beta autoregressive processes", 5th CSDA International Conference on Computational and Financial Econometrics (CFE'11), University of London, UK, December 2011.

"Copula Functions to Model Self-selection Bias: a Bayesian Approach", ITAlian COnference on Survey Methodology (ITACOSM 2011), Pisa, Italy, June 2011.

"Bayesian Model Selection for Beta Autoregressive Processes", Yeditepe International Research Conference on Bayesian Learning (YIRCoBL'11), Istanbul, Turkey, June 2011.

"Copulae and Operational Risk". International Workshop ENBIS5 (European Network of Business and Industry Statistics), Newcastle upon Tyne, UK, September 2005.

"Multivariate Models for Operational Risk Management: the Copulae Approach", workshop "Operational Risk Management", Pavia, April 2005.

Conferences organised

Member of the Organizing Committee of the workshop Operational Risk Management (Pavia, Italy, April 2005).

Member of the Organizing Committee of the workshop Statistical Methods for Data Mining applications (SMDM03) (Pavia, Italy, May 2003).

Member of the Organizing Committee of the workshop Statistical Methods for Data Mining applications (SMDM01) (Pavia, Italy, October 2001).