Prof. Loriana Pelizzon, Ph.D.
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.
- Selected Publications
Author/s Title Area Published Andrea Bedin, Monica Billio, Michele Costola, Loriana Pelizzon Credit Scoring in SME Asset-Backed Securities: An Italian Case Study
Journal of Risk and Financial ManagementSystemic Risk Lab 2019 Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon Measuring Sovereign Contagion in Europe
Journal of Financial StabilityFinancial 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 InvestmentsFinancial 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 StudiesFinancial Markets 2020 Fabio Castiglionesi, Fabio Feriozzi, Gyöngyi Lóránth, Loriana Pelizzon Liquidity Coinsurance and Bank Capital
Journal of Money, Credit and BankingFinancial 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 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 Intermediation, Systemic Risk Lab 2016 Fabrizio Lillo, Loriana Pelizzon, Michael Schneider Modelling Illiquidity Spillovers with Hawkes Processes: An Application to the Sovereign Bond Market
Quantitative FinanceFinancial 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 EconometricsFinancial 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 EconomicsFinancial Markets, Systemic Risk Lab 2016 Mila Getmansky Sherman, Giulio Girardi, Stanislava Nikolova, Loriana Pelizzon, Kathleen Weiss Hanley Portfolio Similarity and Asset Liquidation in the Insurance Industry
Journal of Financial EconomicsFinancial Markets, Systemic Risk Lab 2021 Loriana Pelizzon, Domenico Sartore Deciphering the Libor and Euribor Spreads during the Subprime Crisis
North American Journal of Economics and FinanceFinancial 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 AnalysisHousehold 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 InvestorsFinancial Intermediation, Systemic Risk Lab 2014 Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova Recovery from Fast Crashes: Role of Mutual Funds
Journal of Financial MarketsFinancial 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 StakeholdersFinancial 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 EconomicsFinancial Markets, Systemic Risk Lab 2022 Katja Langenbucher, Loriana Pelizzon Short Selling – On Ethics, Politics, and Culture
Zeitschrift für Bankrecht und BankwirtschaftFinancial Markets 2021 Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo, Loriana Pelizzon Networks in Risk Spillovers: A Multivariate GARCH Perspective
Econometrics and StatisticsFinancial 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 ResearchFinancial Markets 2022 Loriana Pelizzon, Anjan Thakor, Calebe de Roure P2P Lenders versus Banks: Cream Skimming or Bottom Fishing?
The Review of Corporate Finance StudiesHousehold Finance 2022 Pietro Dindo, Andrea Modena, Loriana Pelizzon Risk Pooling, Intermediation Efficiency, and the Business Cycle
Journal of Economic Dynamics & ControlFinancial 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 ChallengesFinancial 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 & FinanceFinancial 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 FinanceFinancial Markets 2023 Gianluca Anese, Marco Corazza, Michele Costola, Loriana Pelizzon Impact of Public News Sentiment on Stock Market Index Return and Volatility
Computational Management ScienceFinancial 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 IncomeFinancial 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 StudiesFinancial Markets, Systemic Risk Lab 2024 Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Darya Yuferova Market Liquidity and Competition Among Designated Market Makers
forthcoming in Management ScienceFinancial 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 EconomicsFinancial 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 EconomicsFinancial Markets 2024
- SAFE Working Papers
- SAFE Policy Publications
Author Title Published Arnoud Boot,
Elena Carletti,
Hans-Helmut Kotz,
Jan Pieter Krahnen,
Loriana Pelizzon,
Marti SubrahmanyamCorona and Financial Stability 4.0: Implementing a European Pandemic Equity Fund
Policy Letter No. 842020 Jan Pieter Krahnen,
Loriana Pelizzon"Predatory" Margins and the Regulation and Supervision of Central Counterparty Clearing Houses (CCPs)
White Paper No. 412016 Arnoud Boot,
Elena Carletti,
Rainer Haselmann,
Hans-Helmut Kotz,
Jan Pieter Krahnen,
Loriana Pelizzon,
Stephen Schaefer,
Marti SubrahmanyamThe Coronavirus and Financial Stability
Policy Letter No. 782020 Jan Pieter Krahnen,
Katja Langenbucher,
Christian Leuz,
Loriana PelizzonWhat are the wider supervisory implications of the Wirecard case?
White Paper No. 742020 Tatiana Farina,
Jan Pieter Krahnen,
Loriana Pelizzon,
Mark WahrenburgWhat 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. 652019 Johannes Kasinger,
Loriana PelizzonFinancial Stability in the EU: A Case for Micro Data Transparency
Policy Letter No. 672018 Jan Pieter Krahnen,
Loriana PelizzonPriorities for the CMU agenda
Policy Letter No. 852020 Arnoud Boot,
Elena Carletti,
Hans-Helmut Kotz,
Jan Pieter Krahnen,
Loriana Pelizzon,
Marti SubrahmanyamCorona and Financial Stability 3.0: Try equity -risk sharing for companies, large and small
Policy Letter No. 812020 Arnoud Boot,
Elena Carletti,
Hans-Helmut Kotz,
Jan Pieter Krahnen,
Loriana Pelizzon,
Marti SubrahmanyamCorona and Financial Stability 2.0: Act jointly now, but also think about tomorrow
Policy Letter No. 792020 Arnoud Boot,
Elena Carletti,
Hans-Helmut Kotz,
Jan Pieter Krahnen,
Loriana Pelizzon,
Marti SubrahmanyamCorona and banking - A financial crisis in slow motion? An evaluation of the policy options
White Paper No. 792021 Johannes Kasinger,
Jan Pieter Krahnen,
Steven Ongena,
Loriana Pelizzon,
Maik Schmeling,
Mark WahrenburgNon-performing Loans - New risks and policies?
White Paper No. 842021 Ignazio Angeloni,
Christopher Daase,
Nicole Deitelhoff,
Matthias Goldmann,
Jan Pieter Krahnen,
Stefan Kroll,
Carl-Georg Luft,
Andreas Nölke,
Anton Peez,
Loriana PelizzonDesigning a rational sanctioning strategy
Policy Letter No. 952022 Tatiana Farina,
Jan Pieter Krahnen,
Irene Mecatti,
Loriana Pelizzon,
Jonas Schlegel,
Tobias TrögerIs 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. 922022 Tatiana Farina,
Jan Pieter Krahnen,
Irene Mecatti,
Loriana Pelizzon,
Jonas Schlegel,
Tobias TrögerIs 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. 922022 Florian Heider,
Jan Pieter Krahnen,
Loriana Pelizzon,
Jonas Schlegel,
Tobias TrögerEuropean lessons from Silicon Valley Bank resolution: A plea for a comprehensive demand deposit protection scheme (CDDPS)
Policy Letter No. 982023 Nikolai Badenhoop,
Angelina Hackmann,
Christian Mücke,
Loriana PelizzonQuo Vadis Sustainable Funds? Sustainability and taxonomy-aligned disclosure in Germany under the SFDR
White Paper No.942023
- Ongoing Projects
Researcher Project Funded by Status Project Duration Publication Count Farshid Abdi, Mila Getmansky Sherman, Emily Kormanyos, Loriana Pelizzon, Zorka Simon Market Impact of Government Communication: The Case of Presidential Tweets SAFE Ongoing 2020 1 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 Stiftung Ongoing 2023 1 Carmelo Latino, Loriana Pelizzon, Max Riedel Green Auto Securitization (GAS) BMBF Ongoing 2022 1 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 2020 Ongoing 2021 1 Aoife Fitzpatrick, Konrad Lucke, Loriana Pelizzon Stranded Assets, Financial Constraints, and the Distributional Impacts of Climate Policy (FAIRCLIP) Leibniz Competition Ongoing 2023 1 Aoife Fitzpatrick, Loriana Pelizzon, Roberto Rigobon ESG Preferences and Investing in the European Contest SAFE Ongoing 2023 1 Carmelo Latino, Loriana Pelizzon, Pallavi Rajan, Katia Vozian ESG Risk Management Framework for the Financial Sector (ESG UPTAKE) European Commission-EU Ongoing 2023 1
- Completed Projects
Researcher Project Funded by Status Project Duration Publication Count Monica Billio, Petr Jakubik, Nicola Mano, Loriana Pelizzon, Matteo Sottocornola Impacts of the Quantitative Easing on the European Insurance Industry LOEWE Completed 2016 1 Loriana Pelizzon, Zorka Simon Institutional Choice between Funding Markets: Repo vs. Securities Lending LOEWE Completed 2019 1 Mario Bellia, Mila Getmansky Sherman, Giulio Girardi, Christian Kubitza, Craig Lewis, Roberto Panzica, Loriana Pelizzon, Tuomas A. Peltonen The Demand for Central Clearing – To Clear or Not to Clear? LOEWE Completed 2016 1 Tanja Baccega, Andrea Bedin, Silvia Dalla Fontana, Nicola Mano, Loriana Pelizzon, Paolo Tasca, Anjan Thakor, Calebe de Roure How Does On-line/P2P Lending Fit Into the Consumer Credit Market LOEWE Completed 2017 1 Edin Ibrocevic, Holger Lüthen, Loriana Pelizzon, Sviataslau Sivagrakau, Matthias Thiemann A Genealogy of Systemic Risk Network Measures adopted by Regulators LOEWE Completed 2016 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 Completed 2016 1 Massimiliano Caporin, Xu Liu, Loriana Pelizzon, Alberto Plazzi, Max Riedel The Impact of Unconventional Monetary Policies on European Financial Markets Volkswagen Stiftung Completed 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 Completed 2014 1 Monica Billio, Nuno Cassola, Vittoria Cerasi, Michele Costola, Enrica De Cian, Iva Hristova, Carmelo Latino, Matteo Manera, Irene Monasterolo, Claudio Morana, Loriana Pelizzon ESG Factors and Climate Change for Credit Analysis and Rating EIB Institute Completed 2019 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 Completed 2017 1 Nils Bertschinger, Aleksey Kolokolov, Roberto Panzica, Loriana Pelizzon, Zorka Simon, Tatiana von Landesberger Network Representations of Interconnections and Contagion LOEWE Completed 2016 1 Virginia Gianinazzi, Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio Securities Lending and Quantitative Easing SAFE Completed 2020 1 Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo, Aleksey Kolokolov, Loriana Pelizzon, Zorka Simon Network Banks Exposures and Variance Spillovers in the Euro Area LOEWE Completed 2016 1 Monica Billio, Massimiliano Caporin, Aleksey Kolokolov, Roberto Panzica, Loriana Pelizzon, Zorka Simon Network Connectivity, Systemic and Systematic Risk LOEWE Completed 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 Completed 2018 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 Completed 2016 1 Zhiwu Hong, Linlin Niu, Loriana Pelizzon, Marti Subrahmanyam, Reiko Tobe, Davide Tomio, Jun Uno The Impact of QE Interventions on Sovereign Bond Market Microstructure Volkswagen Stiftung Completed 2016 1 Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi, Roberto Rigobon The Impact of Unconventional Monetary Policies on European Financial Markets (T4) LOEWE Completed 2016 1 Nicole Branger, Jun E. Li, Loriana Pelizzon, Christian Schlag, Ivan Shaliastovich, Dongho Song Macroeconomic Asset Price Risks in the Presence of the Zero Lower Bound Volkswagen Stiftung Completed 2016 1 Jannic Cutura, 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 Completed 2016 1 Marcel Bluhm, Co-Pierre Georg, Jan Pieter Krahnen, Jun E. Li, Xu Liu, Loriana Pelizzon, Mihaela-Simina Puscasu, Christian Schlag, Sascha Steffen, Marti Subrahmanyam, Matthias Thiemann, Jun Uno Quantitative Easing and Financial (In)Stability Volkswagen Stiftung Completed 2016 1 Viral Acharya, Loriana Pelizzon QE, Foreigner Behavior and Market Fragility in the Indian NSE Electronic Equity Order Book Markets Volkswagen Stiftung Completed 2016 1 Christian Mücke, Loriana Pelizzon, Vincenzo Pezone, Anjan Thakor The Capital Purchase Program and Board Appointment SAFE Completed 2020 1 Mario Bellia, Nicola Mano, Loriana Pelizzon, Matteo Sottocornola The Impact of Quantitative Easing on Stock and CDS Prices of European Insurance Companies DVfVW Completed 2017 1 Mario Bellia, Patrice Fontaine, Mila Getmansky Sherman, Terrence John Hendershott, Aleksey Kolokolov, Andrea Modena, Loriana Pelizzon, Francesco Poli, Satchit Sagade, Peter Sarlin, Michael Schneider, Jean-Pierre Zigrand Digging into High Frequency Data: Present and Future Risks and Opportunities DFG Completed 2017 1