Rosanne Vanpée obtained a PhD in Applied Economics from the KU Leuven, where she has been working as a Professor of International Finance since 2010. She also has a practical experience with bond markets, which she obtained as a fixed income risk analyst at BNP Paribas Investment Partners. Her research is focused on Sustainable Finance. She investigates new financial instruments targeted to sustainable investment projects and ESG related matters. She developed a solid expertise in the functioning of credit rating agencies and rating models. Her work has been published in The Review of Finance, Journal of Banking and Finance and The European Journal of Finance, amongst others. More recently, Rosanne developed an interest in environmental and transportation economics. She combines her work at the university with a position as senior researcher at Transport & Mobility Leuven.
Sovereign credit risk modeling using machine learning: a novel approach to sovereign credit risk incorporating private sector and sustainability risks
The authors investigate the effect of spillover effects from private sector risks on sovereign debt risk and the impact of rising sustainability risks on sovereign credit risk using the XGBoost classification algorithm and model interpretability…