Prof. Loriana Pelizzon, Ph.D.

Prof. Loriana Pelizzon, Ph.D.
Program Area:
Financial Markets
Position:
Program Director "Financial Markets", Senior Researcher
Institution:
SAFE/Goethe University
Phone:
+49 69 798 30064
Email:
pelizzon@safe.uni-frankfurt.de
Room:
HoF 4.16
Website
Author/s Title Program Area Published
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
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
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
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
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
Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon Measuring Sovereign Contagion in Europe
Journal of Financial Stability
Financial Markets, Systemic Risk Lab 2018
Loriana Pelizzon, Domenico Sartore Deciphering 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
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
Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon Mutual Excitation in Eurozone Sovereign CDS
Journal of Econometrics
Systemic Risk Lab, Financial Markets, Macro and Finance 2014
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
No. Author/s Title Program Area
276 Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi Does Monetary Policy Impact International Market Co-Movements? Financial Markets, Macro and Finance
227 Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova Recovery from Fast Crashes: Role of Mutual Funds Systemic Risk Lab, Data Center, Financial Markets
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
204 Loriana Pelizzon, Matteo Sottocornola The Impact of Monetary Policy Interventions on the Insurance Industry Macro and Finance, Financial Markets, Systemic Risk Lab
225 Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo, Loriana Pelizzon Networks in Risk Spillovers: A Multivariate GARCH Perspective Financial Intermediation, Systemic Risk Lab
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
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 and Finance, 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
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
270 Mario Bellia, Kim Christensen, Aleksey Kolokolov, Loriana Pelizzon, Roberto Renò High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame? Systemic Risk Lab, Financial Markets
275 Loriana Pelizzon, Max Riedel, Zorka Simon, Marti Subrahmanyam Collateral Eligibility of Corporate Debt in the Eurosystem Financial Markets, Macro and Finance, Systemic Risk Lab
275 Loriana Pelizzon, Max Riedel, Zorka Simon, Marti Subrahmanyam Collateral Eligibility of Corporate Debt in the Eurosystem Financial Markets, Macro and Finance, 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 Financial Markets, Systemic Risk Lab
247 Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Darya Yuferova Designated Market Makers: Competition and Incentives Financial Markets, Systemic Risk Lab
235 Mila Getmansky Sherman, Christian Kubitza, Loriana Pelizzon Pitfalls of Central Clearing in the Presence of Systematic Risk 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
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 Intermediation
45 Fabio Castiglionesi, Fabio Feriozzi, Gyöngyi Lóránth, Loriana Pelizzon Liquidity Coinsurance and Bank Capital Financial Intermediation, Systemic Risk Lab
51 Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon Mutual Excitation in Eurozone Sovereign CDS Systemic Risk Lab, Financial Markets, Macro and Finance
271 Pietro Dindo, Andrea Modena, Loriana Pelizzon Risk Pooling, Leverage, and the Business Cycle Financial Markets, Macro and Finance
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, 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
Author Title Published
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
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 Financial Stability 3.0: Try equity -risk sharing for companies, large and small
Policy Letter No. 81
2020
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
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 Financil 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
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
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
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 Completed 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 LOEWE Ongoing 2017 1
Monica Billio, Massimiliano Caporin, Aleksey Kolokolov, Roberto Panzica, Loriana Pelizzon, Zorka Simon Network Connectivity, Systemic and Systematic Risk LOEWE Completed 2016 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 Ongoing 2017 1
Stefano Battiston, Monica Billio, Nuno Cassola, Vittoria Cerasi, Michele Costola, Enrica De Cian, Iva Hristova, Matteo Manera, Irene Monasterolo, Claudio Morana, Loriana Pelizzon ESG Factors and Climate Change for Credit Analysis and Rating EIB Institute Ongoing 2019 0
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
Martin Götz, Dominic Hirschbühl, Christian Mücke, Loriana Pelizzon Systemic Financial Risk Platform (SFRP) – A Platform for Presenting and Implementing Research on Systemic Risk LOEWE Ongoing 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 LOEWE Completed 2014 1
Michele Costola, Xu Liu, Steven Ongena, Loriana Pelizzon, Anjan Thakor, Calebe de Roure Credit Supply and Demand, Monetary Policy and P2P Lending LOEWE Ongoing 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
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 Ongoing 2014 0
Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo, Loriana Pelizzon, Zorka Simon Network Banks Exposures and Variance Spillovers in the Euro Area LOEWE Completed 2016 1
Mila Getmansky Sherman, Giulio Girardi, Stanislava Nikolova, Loriana Pelizzon, Kathleen Weiss Hanley Interconnectedness of Insurance Companies LOEWE Completed 2014 1
Edin Ibrocevic, Loriana Pelizzon, Matthias Thiemann A Genealogy of Systemic Risk Network Measures adopted by Regulators LOEWE Ongoing 2016 1
Mila Getmansky Sherman, Christian Kubitza, Loriana Pelizzon, Haoxiang Zhu EMIR Bridge Programme for Data Science ESRB Ongoing 2019 0
Loriana Pelizzon Systemic Risk Dashboard LOEWE Ongoing 2015 0
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
Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi, Roberto Rigobon The Impact of Unconventional Monetary Policies on European Financial Markets (T4) LOEWE 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 LOEWE Ongoing 2016 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 Ongoing 2016 1
Mila Getmansky Sherman, Xu Liu, Loriana Pelizzon, Martin Scheicher, Zorka Simon, Haoxiang Zhu EMIR and MIFID II Regulatory Reform LOEWE Ongoing 2019 1
Loriana Pelizzon, Zorka Simon Institutional Choice between Funding Markets: Repo vs. Securities Lending LOEWE Ongoing 2019 0
Nils Bertschinger, Roberto Panzica, Loriana Pelizzon, Zorka Simon, Tatiana von Landesberger Network Representations of Interconnections and Contagion LOEWE Ongoing 2016 1
Mario Bellia, Roberto Panzica, Loriana Pelizzon, Tuomas A. Peltonen The Demand for Central Clearing – To Clear or Not to Clear? 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 Ongoing 2018 1
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