Prof. Loriana Pelizzon, Ph.D.

Prof. Loriana Pelizzon, Ph.D.
Programmbereich:
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
Telefon:
+49 69 798 30064
E-Mail:
pelizzon@safe.uni-frankfurt.de
Raum:
HoF 4.16
Webseite
Autor(en) Titel Forschungs­bereich Publiziert
Fabrizio Lillo, Loriana Pelizzon, Michael Schneider Modelling Illiquidity Spillovers with Hawkes Processes: An Application to the Sovereign Bond Market
Quantitative Finance
Financial Markets, Systemic Risk Lab 2018
Monica Billio, Lorenzo Frattarolo, Loriana Pelizzon A Time Varying Performance Evaluation of Hedge Fund Strategies through Aggregation
Bankers, Markets and Investors
Financial Institutions, Systemic Risk Lab 2014
Fabio Castiglionesi, Fabio Feriozzi, Gyöngyi Lóránth, Loriana Pelizzon Liquidity Coinsurance and Bank Capital
Journal of Money, Credit and Banking
Financial Institutions, Systemic Risk Lab 2014
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
Andrea Bedin, Monica Billio, Michele Costola, Loriana Pelizzon Credit Scoring in SME Asset-Backed Securities: An Italian Case Study. Journal of Risk and Financial Management
Journal of Risk and Financial Management
Systemic Risk Lab 2019
Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon Measuring Sovereign Contagion in Europe
Journal of Financial Stability
Financial Markets, Systemic Risk Lab 2018
Monica Billio, Michele Costola, Roberto Panzica, Loriana Pelizzon Systemic Risk and Financial Interconnectedness: Network Measures and the Impact of the Indirect Effect
Systemic Risk Tomography: Signals, Measurement and Transmission Channels (ISTE Press - Elsevier)
Financial Institutions, Systemic Risk Lab 2016
Tomaso Aste, Loriana Pelizzon, Nicolas Perony, Paolo Tasca Banking Beyond Banks and Money. A Guide to Banking Services in the Twenty-First Century
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
Silvia Bressan, Noemi Pace, Loriana Pelizzon Health Status and Portfolio Choice: Is Their Relationship Economically Relevant?
International Review of Financial Analysis
Household Finance, Systemic Risk Lab 2014
Loriana Pelizzon, Domenico Sartore Deciphering the Libor and Euribor Spreads during the Subprime Crisis
North American Journal of Economics and Finance
Financial Institutions, Systemic Risk Lab 2013
Nr. Autor(en) Titel Forschungs­bereich
247 Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Darya Yuferova Paying for Market Liquidity: Competition and Incentives Financial Markets, Systemic Risk Lab
206 Loriana Pelizzon, Anjan Thakor, Calebe de Roure P2P Lending versus Banks: Cream Skimming or Bottom Fishing? Household Finance, Systemic Risk Lab
151 Fabrizio Lillo, Loriana Pelizzon, Michael Schneider How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis Financial Markets, Systemic Risk Lab
225 Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo, Loriana Pelizzon Networks in Risk Spillovers: A Multivariate GARCH Perspective Financial Institutions, Systemic Risk Lab
45 Fabio Castiglionesi, Fabio Feriozzi, Gyöngyi Lóránth, Loriana Pelizzon Liquidity Coinsurance and Bank Capital Financial Institutions, Systemic Risk Lab
262 Andrea Bedin, Monica Billio, Michele Costola, Loriana Pelizzon Credit Scoring in SME Asset-Backed Securities: An Italian Case Study Financial Markets, Systemic Risk Lab
230 Yalin Gündüz, Giorgio Ottonello, Loriana Pelizzon, Michael Schneider, Marti Subrahmanyam Lighting up the Dark: Liquidity in the German Corporate Bond Market Macro Finance, Financial Markets, Systemic Risk Lab
227 Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova Liquidity Provision: Normal Times vs Crashes Systemic Risk Lab, Data Center, Financial Markets
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, Systemic Risk Lab
182 Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova Coming Early to the Party Financial Markets, Systemic Risk Lab
224 Mila Getmansky Sherman, Giulio Girardi, Stanislava Nikolova, Loriana Pelizzon, Kathleen Weiss Hanley Portfolio Similarity and Asset Liquidation in the Insurance Industry Systemic Risk Lab, Financial Institutions
95 Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina? Systemic Risk Lab, Financial Markets
226 Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno Central Bank-Driven Mispricing Financial Markets, Macro Finance, Systemic Risk Lab
261 Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case Systemic Risk Lab, Financial Markets
193 Mario Bellia, Giulio Girardi, Roberto Panzica, Loriana Pelizzon, Tuomas A. Peltonen The Demand for Central Clearing: To Clear or Not to Clear, That is the Question Systemic Risk Lab
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
103 Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon Measuring Sovereign Contagion in Europe Systemic Risk Lab, Financial Markets
51 Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon Mutual Excitation in Eurozone Sovereign CDS Systemic Risk Lab, Financial Markets, Macro Finance
235 Mila Getmansky Sherman, Christian Kubitza, Loriana Pelizzon Pitfalls of Central Clearing in the Presence of Systematic Risk Systemic Risk Lab
204 Loriana Pelizzon, Matteo Sottocornola The Impact of Monetary Policy Interventions on the Insurance Industry Macro Finance, Financial Markets, Systemic Risk Lab
255 Silvia Dalla Fontana, Marco Holz auf der Heide, Loriana Pelizzon, Martin Scheicher The Anatomy of the Euro Area Interest Rate Swap Market Financial Markets, Systemic Risk Lab
Forscher Projekt Finanziert von Status Projektdauer Publication Count
Mario Bellia, Loriana Pelizzon, Tuomas A. Peltonen, Marti Subrahmanyam Commonality and Liquidity Spillover in European Sovereign Bonds: An Analysis of Cash, Futures, Repo and CDS Contracts LOEWE Fortlaufend 2017 0
Jan Pieter Krahnen, Jun E. Li, Xu Liu, Loriana Pelizzon, Mihaela-Simina Puscasu, Christian Schlag, Sascha Steffen, Matthias Thiemann Quantitative Easing and Financial (In)Stability Volkswagen Stiftung Beendet 2016 1
Edin Ibrocevic, Loriana Pelizzon, Matthias Thiemann A Genealogy of Systemic Risk Network Measures adopted by Regulators LOEWE Fortlaufend 2016 1
Tanja Baccega, Andrea Bedin, Luca Bertalot, Monica Billio, Michele Costola, James Drinkwater, Xu Liu, Marco Marijewycz, Christian Mücke, Loriana Pelizzon, Max Riedel, Zsolt Toth EeMAP – Energy Efficient Mortgages Action Plan EU – Horizon 2020 Fortlaufend 2017 1
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) LOEWE Fortlaufend 2016 1
Loriana Pelizzon, Michael Schneider, Marti Subrahmanyam, Davide Tomio, Jun Uno, Clara Vega The Impact of QE Interventions on Market Liquidity and Limits to Arbitrage LOEWE Fortlaufend 2016 1
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 LOEWE Beendet 2014 1
Nils Bertschinger, Roberto Panzica, Loriana Pelizzon, Zorka Simon, Tatiana von Landesberger Network Representations of Interconnections and Contagion LOEWE Fortlaufend 2016 1
Mila Getmansky Sherman, Giulio Girardi, Stanislava Nikolova, Loriana Pelizzon, Kathleen Weiss Hanley Interconnectedness of Insurance Companies LOEWE Beendet 2014 1
Mauro Bernardi, Monica Billio, Massimiliano Caporin, Roberto Casarin, Michele Costola, Lorenzo Frattarolo, Shawkat Hammoudeh, Ahmed Khalifa, Bertrand B. Maillet, Roberto Panzica, Loriana Pelizzon, Erdem Yenerdag European Early Warning System for Systemic Risk – EARLINESS.eu EU – Horizon 2020 Beendet 2016 1
Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova Strategic Behavior of High Frequency Traders During the Market Pre-Opening Period Europlace Beendet 2014 1
Mila Getmansky Sherman, Xu Liu, Loriana Pelizzon, Martin Scheicher, Zorka Simon, Haoxiang Zhu EMIR and MIFID II Regulatory Reform LOEWE Fortlaufend 2019 1
Tanja Baccega, Andrea Bedin, Silvia Dalla Fontana, Loriana Pelizzon, Anjan Thakor, Calebe de Roure How Does On-line/P2P Lending Fit Into the Consumer Credit Market LOEWE Fortlaufend 2017 1
Michele Costola, Xu Liu, Steven Ongena, Loriana Pelizzon, Anjan Thakor, Calebe de Roure Credit Supply and Demand, Monetary Policy and P2P Lending LOEWE Fortlaufend 2019 0
Loriana Pelizzon, Max Riedel, Michael Schmidt Microeconomic Assessment of Banks' Securitization Strategies LOEWE Fortlaufend 2017 0
Monica Billio, Massimiliano Caporin, Aleksey Kolokolov, Roberto Panzica, Loriana Pelizzon, Zorka Simon Network Connectivity, Systemic and Systematic Risk LOEWE Fortlaufend 2016 1
Loriana Pelizzon, Zorka Simon Institutional Choice between Funding Markets: Repo vs. Securities Lending LOEWE Fortlaufend 2019 0
Monica Billio, Petr Jakubik, Nicola Mano, Loriana Pelizzon, Matteo Sottocornola Impacts of the Quantitative Easing on the European Insurance Industry LOEWE Beendet 2016 1
Roberto Panzica, Loriana Pelizzon, Tuomas A. Peltonen Dealer and MM Network in the CDS and Cash Sovereign Bond Market LOEWE Fortlaufend 2017 0
Mario Bellia, Nicola Mano, Loriana Pelizzon, Matteo Sottocornola The Impact of Quantitative Easing on Stock and CDS Prices of European Insurance Companies DVfVW Beendet 2017 1
Martin Götz, Xu Liu, Loriana Pelizzon Contingent Convertible and Subordinated Bonds Issuance LOEWE Fortlaufend 2017 0
Martin Götz, Dominic Hirschbühl, Christian Mücke, Loriana Pelizzon Systemic Financial Risk Platform (SFRP) – A Platform for Presenting and Implementing Research on Systemic Risk LOEWE Fortlaufend 2014 1
Mario Bellia, Roberto Panzica, Loriana Pelizzon, Tuomas A. Peltonen The Demand for Central Clearing – To Clear or Not to Clear? LOEWE Beendet 2016 1
Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi, Roberto Rigobon The Impact of Unconventional Monetary Policies on European Financial Markets (T4) LOEWE Fortlaufend 2016 1
Loriana Pelizzon Systemic Risk Dashboard LOEWE Fortlaufend 2015 0
Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo, Loriana Pelizzon, Zorka Simon Network Banks Exposures and Variance Spillovers in the Euro Area LOEWE Fortlaufend 2016 1
Marco Angheben, Andrea Bedin, Luca Bertalot, Monica Billio, Stella Fumarola, Iva Hristova, Vincent Mathieu, Christian Mücke, Matthias Neumann, Loriana Pelizzon, Max Riedel EeDaPP - Energy Efficiency Data Protocol and Portal EU – Horizon 2020 Fortlaufend 2018 1
Patrice Fontaine, Mila Getmansky Sherman, Terrence John Hendershott, Aleksey Kolokolov, Loriana Pelizzon, Francesco Poli, Peter Sarlin, Jean-Pierre Zigrand Digging into High Frequency Data: Present and Future Risks and Opportunities DFG Fortlaufend 2017 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 LOEWE Fortlaufend 2014 0
Mila Getmansky Sherman, Christian Kubitza, Loriana Pelizzon, Haoxiang Zhu EMIR Bridge Programme for Data Science ESRB Fortlaufend 2019 0
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