Prof. Loriana Pelizzon, Ph.D.

SAFE Publications

Forscher/innen	Titel	Programmbereich	Publiziert
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
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
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 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
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
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
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
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

SAFE Working Papers

Nr.	Forscher/innen	Titel	Programmbereich
291	Loriana Pelizzon, Satchit Sagade, Katia Vozian	Resiliency: Cross-Venue Dynamics with Hawkes Processes	Financial Markets
285	Elena Carletti, Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Marti Subrahmanyam	The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy	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
45	Fabio Castiglionesi, Fabio Feriozzi, Gyöngyi Lóránth, Loriana Pelizzon	Liquidity Coinsurance and Bank Capital	Financial Intermediation, Systemic Risk Lab
284	Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon	Inside the ESG Ratings: (Dis)agreement and Performance	Financial Markets
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
271	Pietro Dindo, Andrea Modena, Loriana Pelizzon	Risk Pooling, Leverage, and the Business Cycle	Financial Markets, Macro Finance
288	Michele Costola, Oliver Hinz, Michael Nofer, Loriana Pelizzon	Machine Learning Sentiment Analysis, COVID-19 News and Stock Market Reactions	Financial Markets
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
206	Loriana Pelizzon, Anjan Thakor, Calebe de Roure	P2P Lending versus Banks: Cream Skimming or Bottom Fishing?	Household Finance, 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
247	Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Darya Yuferova	Designated Market Makers: Competition and Incentives	Financial Markets, Systemic Risk Lab
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
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
151	Fabrizio Lillo, Loriana Pelizzon, Michael Schneider	How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis	Financial Markets, Systemic Risk Lab
275	Loriana Pelizzon, Max Riedel, Zorka Simon, Marti Subrahmanyam	Collateral Eligibility of Corporate Debt in the Eurosystem	Financial Markets, Macro Finance, 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
225	Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo, Loriana Pelizzon	Networks in Risk Spillovers: A Multivariate GARCH Perspective	Financial Intermediation, 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
182	Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova	Coming Early to the Party	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
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
235	Mila Getmansky Sherman, Christian Kubitza, Loriana Pelizzon	Pitfalls of Central Clearing in the Presence of Systematic Risk	Systemic Risk Lab
226	Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno	Central Bank-Driven Mispricing	Financial Markets, Macro Finance, 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
276	Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi	Does Monetary Policy Impact International Market Co-Movements?	Financial Markets, Macro Finance
275	Loriana Pelizzon, Max Riedel, Zorka Simon, Marti Subrahmanyam	Collateral Eligibility of Corporate Debt in the Eurosystem	Financial Markets, Macro Finance, 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
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

SAFE Policy Publications

Forscher/innen	Titel	Publiziert
Johannes Kasinger, Loriana Pelizzon	Financial Stability in the EU: A Case for Micro Data Transparency Policy Letter No. 67	2018
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	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 2.0: Act jointly now, but also think about tomorrow Policy Letter No. 79	2020
Jan Pieter Krahnen, Loriana Pelizzon	"Predatory" Margins and the Regulation and Supervision of Central Counterparty Clearing Houses (CCPs) White Paper No. 41	2016
Jan Pieter Krahnen, Katja Langenbucher, Christian Leuz, Loriana Pelizzon	What are the wider supervisory implications of the Wirecard case? White Paper No. 74	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
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
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

SAFE Research Projects

Forscher/innen	Projekt	Finanziert von	Status	Projektdauer	Publication Count
Virginia Gianinazzi, Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio	Securities Lending and Quantitative Easing	SAFE	Fortlaufend	2020	0
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	Beendet	2017	1
Edin Ibrocevic, Loriana Pelizzon, Matthias Thiemann	A Genealogy of Systemic Risk Network Measures adopted by Regulators	LOEWE	Beendet	2016	1
Loriana Pelizzon	Systemic Risk Dashboard	LOEWE	Fortlaufend	2015	0
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	Fortlaufend	2019	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
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
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
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
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	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
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	Beendet	2017	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	Fortlaufend	2014	1
Christian Mücke, Loriana Pelizzon, Vincenzo Pezone, Anjan Thakor	The Capital Purchase Program and Board Appointment	SAFE	Fortlaufend	2020	0
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
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	Beendet	2016	1
Mila Getmansky Sherman, Xu Liu, Loriana Pelizzon, Martin Scheicher, Zorka Simon, Haoxiang Zhu	EMIR and MIFID II Regulatory Reform	LOEWE	Fortlaufend	2019	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
Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo, Loriana Pelizzon, Zorka Simon	Network Banks Exposures and Variance Spillovers in the Euro Area	LOEWE	Beendet	2016	1
Loriana Pelizzon, Zorka Simon	Institutional Choice between Funding Markets: Repo vs. Securities Lending	LOEWE	Fortlaufend	2019	0
Monica Billio, Massimiliano Caporin, Aleksey Kolokolov, Roberto Panzica, Loriana Pelizzon, Zorka Simon	Network Connectivity, Systemic and Systematic Risk	LOEWE	Beendet	2016	1
Nils Bertschinger, Roberto Panzica, Loriana Pelizzon, Zorka Simon, Tatiana von Landesberger	Network Representations of Interconnections and Contagion	LOEWE	Beendet	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	Beendet	2016	1
Mila Getmansky Sherman, Giulio Girardi, Stanislava Nikolova, Loriana Pelizzon, Kathleen Weiss Hanley	Interconnectedness of Insurance Companies	LOEWE	Beendet	2014	1
Mila Getmansky Sherman, Christian Kubitza, Loriana Pelizzon, Haoxiang Zhu	EMIR Bridge Programme for Data Science	ESRB	Fortlaufend	2019	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
Monica Billio, Petr Jakubik, Nicola Mano, Loriana Pelizzon, Matteo Sottocornola	Impacts of the Quantitative Easing on the European Insurance Industry	LOEWE	Beendet	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	Fortlaufend	2017	1

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