Prof. Loriana Pelizzon, Ph.D.

Prof. Loriana Pelizzon, Ph.D.
Program Area:
Financial Institutions, Financial Markets, Macro Finance, Systemic Risk Lab, Data Center, Household Finance
Position:
Program Director "Systemic Risk Lab", Professor
Institution:
Research Center SAFE, Goethe University Frankfurt
Phone:
+49 69 798 30064
Email:
pelizzon@safe.uni-frankfurt.de
Room:
HoF 4.16
Website
Author/s Title Research Area Published
Fabio Castiglionesi, Fabio Feriozzi, Gyongyi Loranth, Loriana Pelizzon Liquidity Coinsurance and Bank Capital
Journal of Money, Credit and Banking
Financial Institutions 2014
Monica Billio, Lorenzo Frattarolo, Loriana Pelizzon A Time Varying Performance Evaluation of Hedge Fund Strategies through Aggregation
Bankers, Markets and Investors
Financial Institutions 2014
Fabrizio Lillo, Loriana Pelizzon, Michael Schneider Modelling Illiquidity Spillovers with Hawkes Processes: An Application to the Sovereign Bond Market
forthcoming in Quantitative Finance
Financial Markets, Systemic Risk Lab 2017
Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?
Journal of Financial Economics
Systemic Risk Lab, Financial Markets 2016
Silvia Bressan, Noemi Pace, Loriana Pelizzon Health status and portfolio choice: Is their relationship economically relevant?
International Review of Financial Analysis
Household Finance 2014
Loriana Pelizzon, Domenico Sartore Deciphering the Libor and Euribor Spreads during the Subprime Crisis
North American Journal of Economics and Finance
Financial Institutions 2013
Tomaso Aste, Loriana Pelizzon, Nicolas Perony, Paolo Tasca Banking Beyond Banks and Money. A Guide to Banking Services in the Twenty-First Century
Springer
Financial Institutions, Systemic Risk Lab 2016
Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon Mutual Excitation in Eurozone Sovereign CDS
Journal of Econometrics
Systemic Risk Lab, Financial Markets, Macro Finance 2014
Monica Billio, Michele Costola, Roberto Panzica, Loriana Pelizzon Systemic risk and financial interconnectedness: network measures and the impact of the indirect effect
ISTE – Elsevier
Financial Institutions, Systemic Risk Lab 2016
No. Author/s Title Research Area
182 Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova Coming Early to the Party Financial Markets, Systemic Risk Lab
144 Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods Financial Markets
166 Monica Billio, Massimiliano Caporin, Roberto Panzica, Loriana Pelizzon The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification Financial Markets, Systemic Risk Lab
193 Mario Bellia, Roberto Panzica, Loriana Pelizzon, Tuomas Peltonen The Demand for Central Clearing: To Clear or Not to Clear, That is the Question Systemic Risk Lab
95 Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina? Systemic Risk Lab, Financial Markets
151 Fabrizio Lillo, Loriana Pelizzon, Michael Schneider How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis Financial Markets, Systemic Risk Lab
45 Fabio Castiglionesi, Fabio Feriozzi, Gyongyi Loranth, Loriana Pelizzon Liquidity Coinsurance and Bank Capital Financial Institutions
51 Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon Mutual Excitation in Eurozone Sovereign CDS Systemic Risk Lab, Financial Markets, Macro Finance
103 Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon Measuring Sovereign Contagion in Europe Systemic Risk Lab, Financial Markets
Researcher Project Category Status Project Duration Publication Count
Jan Pieter Krahnen, Jun Li, Xu Liu, Loriana Pelizzon, Christian Schlag, Sascha Steffen, Matthias Thiemann Quantitative Easing and Financial (In)Stability Financial Markets, Macro Finance Ongoing 2016 1
Nils Bertschinger, Roberto Panzica, Loriana Pelizzon, Zorka Simon, Tatiana von Landesberger Network representations of interconnections and contagion Financial Markets, Systemic Risk Lab Ongoing 2016 1
Monica Billio, Massimiliano Caporin, Roberto Panzica, Loriana Pelizzon, Zorka Simon Network Connectivity, Systemic and Systematic Risk Financial Markets, Systemic Risk Lab Ongoing 2016 1
Roberto Panzica, Loriana Pelizzon, Tuomas Peltonen Dealer and MM network in the CDS and cash sovereign bond market Systemic Risk Lab Ongoing 2017 0
Mauro Bernardi, Monica Billio, Massimiliano Caporin, Roberto Casarin, Michele Costola, Lorenzo Frattarolo, Shawkat Hammoudeh, Ahmed A. A. Khalifa, Bertrand Maillet, Roberto Panzica, Loriana Pelizzon, Erdem Yenerdag European early warning system for systemic risk – EARLINESS.eu Systemic Risk Lab Ongoing 2016 1
Mario Bellia, Roberto Panzica, Loriana Pelizzon, Tuomas Peltonen The Demand for Central Clearing – To Clear or Not to Clear? Systemic Risk Lab Ongoing 2016 1
Monica Billio, Petr Jakubik, Nicola Mano, Loriana Pelizzon, Matteo Sottocornola Impacts of the Quantitative Easing on the European Insurance Industry Systemic Risk Lab Ongoing 2016 0
Edin Ibrocevic, Loriana Pelizzon, Sviataslau Sivagrakau, Matthias Thiemann A Genealogy of Systemic Risk Network Measures adopted by Regulators Financial Institutions, Systemic Risk Lab Ongoing 2016 1
Loriana Pelizzon, Anjan Thakor, Calebe de Roure How Does On-line/P2P Lending Fit Into the Consumer Credit Market Household Finance Ongoing 2017 0
Loriana Pelizzon, Ryan Riordan, Satchit Sagade, Marti Subrahmanyam, Jun Uno, Jan Viebig, Christian Westheide An examination of the strategic behavior of high-frequency traders (HFTs) Financial Markets, Systemic Risk Lab Ongoing 2016 1
Monica Billio, Lorenzo Frattarolo, Mila Getmansky Sherman, Dale F. Gray, Andrew Lo, Robert Merton, Loriana Pelizzon, Michael Schmidt Sovereign, bank and insurance credit spread: connectedness and system networks Macro Finance, Systemic Risk Lab Ongoing 2014 0
Mario Bellia, Loriana Pelizzon, Max Riedel, Marti Subrahmanyam, Davide Tomio, Jun Uno Limits to arbitrage in sovereign bonds: price and liquidity discovery in high frequency quote driven markets Financial Markets, Systemic Risk Lab Completed 2014 1
Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo, Loriana Pelizzon, Zorka Simon Network banks exposures and variance spillovers in the euro area Financial Institutions, Systemic Risk Lab Ongoing 2016 1
Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi, Roberto Rigobon The impact of unconventional monetary policies on European financial markets Macro Finance, Financial Markets Ongoing 2016 1
Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno, Clara Vega The impact of QE interventions on market liquidity and limits to arbitrage Macro Finance, Financial Markets Ongoing 2016 1
Mila Getmansky Sherman, Giulio Girardi, Stanislava Nikolova, Loriana Pelizzon, Kathleen Weiss Hanley Interconnectedness of insurance companies Financial Institutions, Systemic Risk Lab Ongoing 2014 0
Loriana Pelizzon Further development of the platform and the data provision for the Systemic Risk Dashboard Data Center Ongoing 2015 0
Patrice Fontaine, Mila Getmansky Sherman, Terrence John Hendershott, Aleksey Kolokolov, Loriana Pelizzon, Peter Sarlin, Jean-Pierre Zigrand Digging into High Frequency Data: Present and Future Risks and Opportunities Systemic Risk Lab, Data Center, Financial Markets Ongoing 2017 0
Martin Götz, Xu Liu, Loriana Pelizzon Contingent Convertible and Subordinated Bonds Issuance Systemic Risk Lab Ongoing 2017 0
Mario Bellia, Nicola Mano, Loriana Pelizzon, Matteo Sottocornola The Impact of Quantitative Easing on Stock and CDS Prices of European Insurance Companies Systemic Risk Lab, Financial Institutions Ongoing 2017 0
Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova Strategic behavior of High Frequency Traders during the market pre-opening period Financial Markets, Systemic Risk Lab Completed 2014 1
Mario Bellia, Loriana Pelizzon, Tuomas Peltonen, Marti Subrahmanyam Commonality and liquidity spillover in European sovereign bonds: An analysis of cash, futures, repo and CDS contracts Systemic Risk Lab Ongoing 2017 0
Loriana Pelizzon, Max Riedel EeMAP – Energy Efficient Mortgages Action Plan Systemic Risk Lab Ongoing 2017 1
Loriana Pelizzon, Max Riedel, Michael Schmidt Microeconomic assessment of banks' securitization strategies Financial Institutions Ongoing 2017 0
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