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
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
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
Silvia Bressan, Noemi Pace, Loriana Pelizzon Health status and portfolio choice: Is their relationship economically relevant?
International Review of Financial Analysis
Household Finance 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
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
Loriana Pelizzon, Domenico Sartore Deciphering the Libor and Euribor Spreads during the Subprime Crisis
North American Journal of Economics and Finance
Financial Institutions 2013
Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon Measuring Sovereign Contagion in Europe
Journal of Financial Stability
Financial Markets, Systemic Risk Lab 2018
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
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
No. Author/s Title Research Area
45 Fabio Castiglionesi, Fabio Feriozzi, Gyongyi Loranth, Loriana Pelizzon Liquidity Coinsurance and Bank Capital Financial Institutions
206 Loriana Pelizzon, Anjan Thakor, Calebe de Roure P2P Lending versus Banks: Cream Skimming or Bottom Fishing? Household Finance
51 Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon Mutual Excitation in Eurozone Sovereign CDS Systemic Risk Lab, Financial Markets, Macro Finance
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
227 Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova Stock Price Crashes: Role of Slow-Moving Capital Systemic Risk Lab, Data Center, Financial Markets
204 Loriana Pelizzon, Matteo Sottocornola The Impact of Monetary Policy Interventions on the Insurance Industry Macro Finance, Financial Markets
226 Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno Central Bank-Driven Mispricing Financial Markets, Macro Finance
182 Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova Coming Early to the Party 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
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
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
1 Loriana Pelizzon, Marti Subrahmanyam, Reiko Tobe, Jun Uno Scarcity and Spotlight Effects on Liquidity and Yield: Quantitative Easing in Japan
151 Fabrizio Lillo, Loriana Pelizzon, Michael Schneider How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis Financial Markets, Systemic Risk Lab
235 Mila Getmansky Sherman, Christian Kubitza, Loriana Pelizzon The Pitfalls of Central Clearing in the Presence of Systematic Risk 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
103 Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon Measuring Sovereign Contagion in Europe Systemic Risk Lab, Financial Markets
225 Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo, Loriana Pelizzon Networks in Risk Spillovers: A Multivariate GARCH Perspective Financial Institutions, Systemic Risk Lab
Researcher Project Category Status Project Duration Publication Count
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
Monica Billio, Massimiliano Caporin, Aleksey Kolokolov, 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
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
Loriana Pelizzon, Michael Schneider, 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
Loriana Pelizzon, Ryan Riordan, Satchit Sagade, Marti Subrahmanyam, Jun Uno, Christian Westheide An Examination of the Strategic Behavior of High-Frequency Traders (HFTs) Financial Markets, Systemic Risk Lab Ongoing 2016 1
Mario Bellia, Christian Kubitza, Roberto Panzica, Loriana Pelizzon, Tuomas Peltonen The Demand for Central Clearing – To Clear or Not to Clear? Systemic Risk Lab Ongoing 2016 1
Andrea Bedin, Loriana Pelizzon EeDaPP - Energy Efficiency Data Protocol and Portal Systemic Risk Lab Ongoing 2018 0
Mauro Bernardi, Monica Billio, Massimiliano Caporin, Roberto Casarin, Michele Costola, Lorenzo Frattarolo, Shawkat Hammoudeh, Ahmed Khalifa, Bertrand Maillet, Roberto Panzica, Loriana Pelizzon, Erdem Yenerdag European Early Warning System for Systemic Risk – EARLINESS.eu Systemic Risk Lab 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
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 Household Finance Ongoing 2017 1
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, 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
Michele Costola, Loriana Pelizzon, Max Riedel EeMAP – Energy Efficient Mortgages Action Plan Systemic Risk Lab Ongoing 2017 1
Loriana Pelizzon Systemic Risk Dashboard Data Center Ongoing 2015 0
Mila Getmansky Sherman, Giulio Girardi, Stanislava Nikolova, Loriana Pelizzon, Kathleen Weiss Hanley Interconnectedness of Insurance Companies Financial Institutions, Systemic Risk Lab Completed 2014 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
Loriana Pelizzon, Max Riedel, Michael Schmidt Microeconomic Assessment of Banks' Securitization Strategies Financial Institutions Ongoing 2017 0
Jan Pieter Krahnen, Jun Li, Xu Liu, Loriana Pelizzon, Mihaela-Simina Puscasu, Christian Schlag, Sascha Steffen, Matthias Thiemann Quantitative Easing and Financial (In)Stability Financial Markets, Macro Finance 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 Completed 2016 1
Edin Ibrocevic, Loriana Pelizzon, Matthias Thiemann A Genealogy of Systemic Risk Network Measures adopted by Regulators 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
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 Systemic Risk Lab, Data Center, Financial Markets Ongoing 2017 1
Martin Götz, Xu Liu, Loriana Pelizzon Contingent Convertible and Subordinated Bonds Issuance Systemic Risk Lab Ongoing 2017 0
Martin Götz, Dominik Hirschbühl, Christian Mücke, Loriana Pelizzon Systemic Financial Risk Platform (SFRP) – A Platform for Presenting and Implementing Research on Systemic Risk Data Center, Systemic Risk Lab, Policy Center Ongoing 2014 1
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 Completed 2017 1
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