Prof. Loriana Pelizzon, Ph.D.

Prof. Loriana Pelizzon, Ph.D.

Area:
Financial Markets
Position:
Deputy Scientific Director, Director Department Financial Markets, Professor
Institution:
SAFE/Goethe University
Key Research Topic(s):
Risk Measurement and Management, Hedge Funds, Market Microstructure, Financial Crises, Financial Institutions, Sovereign and Systemic Risk

Loriana Pelizzon is Deputy Scientific Director, Department Director of "Financial Markets" and Coordinator of Gender Equality at the Leibniz Institute for Financial Research SAFE as well as Full Professor at Goethe University Frankfurt, Chair of Law and Finance. She is also part-time Full Professor of Economics at the Ca’ Foscari University of Venice and Research Affiliate at MIT Sloan and WFA CFAR Affiliate, Olin Business School, Washington University, St. Louis, US. She graduated from the London Business School with a doctorate in Finance. Her research interests are on risk measurement and management, hedge funds, market microstructure, financial institutions, systemic risk, sovereign risk and financial crisis.

She was one of the coordinators of the European Finance Association (EFA) Doctoral Tutorial, member of the EFA Executive Committee and member of the BSI GAMMA Foundation Board. She has been involved in NBER and FDIC projects as well as EU projects (Marie Curie, FP7 and H2020), Europlace and Inquire Europe, EIEF, Bank of France projects, MIUR, DFG, and VolkswagenStiftung: Europe and Global Challenges. She was a member of the EIOPA’s Insurance and Reinsurance Stakeholder Group and is currently Co-Vice President of the Advisory Scientific Committee of the European Systemic Risk Board, research fellow at the Centre for Economic Policy Research (CEPR), and member of the EU independent expert advice team in the field of Banking Union and external expert for the EU Commission on digital currency and blockchain technology.

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Declaration of Disclosure

  • Selected Publications
    Author/sTitleAreaPublished
    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
    Systemic Risk Lab 2019
    Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto RigobonMeasuring Sovereign Contagion in Europe
    Journal of Financial Stability
    Financial Markets, Systemic Risk Lab 2018
    Monica Billio, Mila Getmansky Sherman, Loriana Pelizzon Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data
    Journal of Alternative Investments
    Financial Markets 2009
    Elena Carletti, Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Marti Subrahmanyam The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy
    The Review of Corporate Finance Studies
    Financial Markets 2020
    Fabio Castiglionesi, Fabio Feriozzi, Gyöngyi Lóránth, Loriana Pelizzon Liquidity Coinsurance and Bank Capital
    Journal of Money, Credit and Banking
    Financial Intermediation, Systemic Risk Lab 2014
    Monica Billio, Loriana Pelizzon Systemic Risk Tomography
    Systemic Risk Tomography: Signals, Measurement and Transmission Channels (ISTE Press - Elsevier)
    Systemic Risk Lab 2016
    Tomaso Aste, Loriana Pelizzon, Nicolas Perony, Paolo TascaBanking 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 Intermediation, Systemic Risk Lab 2016
    Fabrizio Lillo, Loriana Pelizzon, Michael SchneiderModelling Illiquidity Spillovers with Hawkes Processes: An Application to the Sovereign Bond Market
    Quantitative Finance
    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 Intermediation, Systemic Risk Lab 2016
    Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon Mutual Excitation in Eurozone Sovereign CDS
    Journal of Econometrics
    Financial Markets, Macro Finance, 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
    Financial Markets, Systemic Risk Lab 2016
    Mila Getmansky Sherman, Giulio Girardi, Stanislava Nikolova, Loriana Pelizzon, Kathleen Weiss HanleyPortfolio Similarity and Asset Liquidation in the Insurance Industry
    Journal of Financial Economics
    Financial Markets, Systemic Risk Lab 2021
    Loriana Pelizzon, Domenico SartoreDeciphering the Libor and Euribor Spreads during the Subprime Crisis
    North American Journal of Economics and Finance
    Financial Intermediation, Systemic Risk Lab 2013
    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
    Monica Billio, Lorenzo Frattarolo, Loriana Pelizzon A Time Varying Performance Evaluation of Hedge Fund Strategies through Aggregation
    Bankers, Markets and Investors
    Financial Intermediation, Systemic Risk Lab 2014
    Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya YuferovaRecovery from Fast Crashes: Role of Mutual Funds
    Journal of Financial Markets
    Financial Markets, Systemic Risk Lab, Data Center 2022
    Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon Inside the ESG Ratings: (Dis)agreement and Performance
    Corporate Social Responsibility and Environmental Management, Special Issue on Environmental, Social, Governance: Implications for Businesses and Effects for Stakeholders
    Financial Markets 2021
    Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case
    Journal of Real Estate Finance and Economics
    Financial Markets, Systemic Risk Lab 2022
    Katja Langenbucher, Loriana Pelizzon Short Selling – On Ethics, Politics, and Culture
    Zeitschrift für Bankrecht und Bankwirtschaft
    Financial Markets 2021
    Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo, Loriana Pelizzon Networks in Risk Spillovers: A Multivariate GARCH Perspective
    Econometrics and Statistics
    Financial Intermediation, Systemic Risk Lab 2023
    Monica Billio, Bertrand B. Maillet, Loriana Pelizzon A Meta-Measure of Performance Related to Both Investors and Investments Characteristics
    Annals of Operations Research
    Financial Markets 2022
    Loriana Pelizzon, Anjan Thakor, Calebe de RoureP2P Lenders versus Banks: Cream Skimming or Bottom Fishing?
    The Review of Corporate Finance Studies
    Household Finance 2022
    Pietro Dindo, Andrea Modena, Loriana Pelizzon Risk Pooling, Intermediation Efficiency, and the Business Cycle
    Journal of Economic Dynamics & Control
    Financial Markets, Macro Finance 2022
    Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel Creditworthiness and Buildings’ Energy Efficiency in the Italian Mortgage Market
    Climate Investing: New Strategies and Implementation Challenges
    Financial Markets 2023
    Monica Billio, Massimiliano Caporin, Roberto Panzica, Loriana Pelizzon The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification
    International Review of Economics & Finance
    Financial Markets, Systemic Risk Lab 2023
    Michele Costola, Oliver Hinz, Michael Nofer, Loriana Pelizzon Machine Learning Sentiment Analysis, COVID-19 News and Stock Market Reactions
    Research in International Business and Finance
    Financial Markets 2023
    Gianluca Anese, Marco Corazza, Michele Costola, Loriana Pelizzon Impact of Public News Sentiment on Stock Market Index Return and Volatility
    Computational Management Science
    Financial Markets 2023
    Yalin Gündüz, Giorgio Ottonello, Loriana Pelizzon, Michael Schneider, Marti Subrahmanyam Lighting up the Dark: Liquidity in the German Corporate Bond Market
    Journal of Fixed Income
    Financial Markets, Systemic Risk Lab 2023
    Mila Getmansky Sherman, Christian Kubitza, Loriana Pelizzon Loss Sharing in Central Clearinghouses: Winners and Losers
    forthcoming in Review of Asset Pricing Studies
    Financial Markets, Systemic Risk Lab 2024
    Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Darya YuferovaMarket Liquidity and Competition Among Designated Market Makers
    forthcoming in Management Science
    Financial Markets, Systemic Risk Lab 2024
    Loriana Pelizzon, Max Riedel, Zorka Simon, Marti Subrahmanyam Collateral Eligibility of Corporate Debt in the Eurosystem
    forthcoming in Journal of Financial Economics
    Financial Markets, Macro Finance, Systemic Risk Lab 2024
    Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon Sustainable Finance: A Journey Toward ESG and Climate Risk
    International Review of Environmental and Resource Economics
    Financial Markets 2024
  • SAFE Policy Publications
    AuthorTitlePublished
    Arnoud Boot,
    Elena Carletti,
    Hans-Helmut Kotz,
    Jan Pieter Krahnen,
    Loriana Pelizzon,
    Marti Subrahmanyam
    Corona and Financial Stability 4.0: Implementing a European Pandemic Equity Fund
    Policy Letter No. 84
    2020
    Jan Pieter Krahnen,
    Loriana Pelizzon
    "Predatory" Margins and the Regulation and Supervision of Central Counterparty Clearing Houses (CCPs)
    White Paper No. 41
    2016
    Arnoud Boot,
    Elena Carletti,
    Rainer Haselmann,
    Hans-Helmut Kotz,
    Jan Pieter Krahnen,
    Loriana Pelizzon,
    Stephen Schaefer,
    Marti Subrahmanyam
    The Coronavirus and Financial Stability
    Policy Letter No. 78
    2020
    Jan Pieter Krahnen,
    Katja Langenbucher,
    Christian Leuz,
    Loriana Pelizzon
    What are the wider supervisory implications of the Wirecard case?
    White Paper No. 74
    2020
    Tatiana Farina,
    Jan Pieter Krahnen,
    Loriana Pelizzon,
    Mark Wahrenburg
    What are the main factors for the subdued profitability of significant banks in the Banking Union, and is the ECB’s supervisory response conclusive and exhaustive?
    White Paper No. 65
    2019
    Johannes Kasinger,
    Loriana Pelizzon
    Financial Stability in the EU: A Case for Micro Data Transparency
    Policy Letter No. 67
    2018
    Jan Pieter Krahnen,
    Loriana Pelizzon
    Priorities for the CMU agenda
    Policy Letter No. 85
    2020
    Arnoud Boot,
    Elena Carletti,
    Hans-Helmut Kotz,
    Jan Pieter Krahnen,
    Loriana Pelizzon,
    Marti Subrahmanyam
    Corona and Financial Stability 3.0: Try equity -risk sharing for companies, large and small
    Policy Letter No. 81
    2020
    Arnoud Boot,
    Elena Carletti,
    Hans-Helmut Kotz,
    Jan Pieter Krahnen,
    Loriana Pelizzon,
    Marti Subrahmanyam
    Corona and Financial Stability 2.0: Act jointly now, but also think about tomorrow
    Policy Letter No. 79
    2020
    Arnoud Boot,
    Elena Carletti,
    Hans-Helmut Kotz,
    Jan Pieter Krahnen,
    Loriana Pelizzon,
    Marti Subrahmanyam
    Corona and banking - A financial crisis in slow motion? An evaluation of the policy options
    White Paper No. 79
    2021
    Johannes Kasinger,
    Jan Pieter Krahnen,
    Steven Ongena,
    Loriana Pelizzon,
    Maik Schmeling,
    Mark Wahrenburg
    Non-performing Loans - New risks and policies?
    White Paper No. 84
    2021
    Ignazio Angeloni,
    Christopher Daase,
    Nicole Deitelhoff,
    Matthias Goldmann,
    Jan Pieter Krahnen,
    Stefan Kroll,
    Carl-Georg Luft,
    Andreas Nölke,
    Anton Peez,
    Loriana Pelizzon
    Designing a rational sanctioning strategy
    Policy Letter No. 95
    2022
    Tatiana Farina,
    Jan Pieter Krahnen,
    Irene Mecatti,
    Loriana Pelizzon,
    Jonas Schlegel,
    Tobias Tröger
    Is there a ‘retail challenge’ to banks’ resolvability? What do we know about the holders of bail-inable securities in the Banking Union?
    White Paper No. 92
    2022
    Tatiana Farina,
    Jan Pieter Krahnen,
    Irene Mecatti,
    Loriana Pelizzon,
    Jonas Schlegel,
    Tobias Tröger
    Is there a ‘retail challenge’ to banks’ resolvability? What do we know about the holders of bail-inable securities in the Banking Union?
    White Paper No. 92
    2022
    Florian Heider,
    Jan Pieter Krahnen,
    Loriana Pelizzon,
    Jonas Schlegel,
    Tobias Tröger
    European lessons from Silicon Valley Bank resolution: A plea for a comprehensive demand deposit protection scheme (CDDPS)
    Policy Letter No. 98
    2023
    Nikolai Badenhoop,
    Angelina Hackmann,
    Christian Mücke,
    Loriana Pelizzon
    Quo Vadis Sustainable Funds? Sustainability and taxonomy-aligned disclosure in Germany under the SFDR
    White Paper No.94
    2023
  • Ongoing Projects
    ResearcherProjectFunded byStatusProject DurationPublication Count
    Farshid Abdi, Mila Getmansky Sherman, Emily Kormanyos, Loriana Pelizzon, Zorka Simon Market Impact of Government Communication: The Case of Presidential Tweets SAFEOngoing20201
    Cara Maria Damm, Hendrik Drachsler, Oliver Hinz, Kristian Kersting, Loriana Pelizzon, Gernot Rohde, Yee Lee Shing, Sebastian Steuer, Tobias Tröger, Josephine Ann Uhlig From Machine Learning to Machine Teaching – Making Machines AND Humans Smarter (ML2MT) Volkswagen StiftungOngoing20231
    Carmelo Latino, Loriana Pelizzon, Max Riedel Green Auto Securitization (GAS) BMBFOngoing20221
    Luca Bertalot, Monica Billio, Stefano Colonnello, Michele Costola, Aoife Fitzpatrick, Carmelo Latino, Konrad Lucke, Loriana Pelizzon Mainstreaming Transparent Assessment of Energy Efficiency in ESG Ratings (TranspArEEnS) EU-Horizon 2020Ongoing20211
    Aoife Fitzpatrick, Konrad Lucke, Loriana Pelizzon Stranded Assets, Financial Constraints, and the Distributional Impacts of Climate Policy (FAIRCLIP) Leibniz CompetitionOngoing20231
    Aoife Fitzpatrick, Loriana Pelizzon, Roberto Rigobon ESG Preferences and Investing in the European Contest SAFEOngoing20231
    Carmelo Latino, Loriana Pelizzon, Pallavi Rajan, Katia Vozian ESG Risk Management Framework for the Financial Sector (ESG UPTAKE) European Commission-EUOngoing20231
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