Faculty of Economics and Business Administration Publications Database

Author

Prof. Loriana Pelizzon, Ph.D.


Department

  • Finance

Chair

  • SAFE Chair of Law and Finance

Academic / Professional Positions

  • Since 2013: Full Professor of Law and Finance, Research Center SAFE, Goethe University Frankfurt
  • 2006-2013: Associate Professor in Economics, University of Venice
  • 2004-2005: Assistant Professor in Economics, University of Venice
  • 2000-2004: Assistant Professor in Economics, University of Padua

Education

  • 1986-2001 London Business School, PhD in Fianance, Viva on 4 February 2002
  • 1986-1991 University of Venice, Laurea Degree in Business Administration (Summa cum Laude)

Research Interests

  • Systemic risk
  • Risk Management and Capital Requirements
  • Credit Derivatives
  • Credit risk
  • Financial crisis and contagion
  • Asset allocation and portfolio selection
  • Household portfolios
  • Mutual fund performance
  • Hedge funds
  • Corporate Governance

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Author Publications

Modelling Illiquidity Spillovers with Hawkes Processes: An Application to the Sovereign Bond Market
Quantitative Finance
2018
Pelizzon, Loriana
Fabrizio Lillo, Michael Schneider
Measuring Sovereign Contagion in Europe
Journal of Financial Stability
2018
Pelizzon, Loriana
Massimiliano Caporin, Francesco Ravazzolo
Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?
Journal of Financial Economics
Selected
2016
Pelizzon, Loriana
Subramaniam, Mart M.
Tomio, Davide
Uno, Jun
Systemic risk and financial interconnectedness: network measures and the impact of the indirect effect
ISTE - Elsevier
2016
Pelizzon, Loriana
Billio, Monica
Banking Beyond Banks and Money - A Guide to Banking Services in the Twenty-First Century
2016
Pelizzon, Loriana
Aste Tommaso, Paolo Tasca
Mutual excitation in Eurozone sovereign CDS
Journal of Econometrics
Selected
2014 Ait-Sahalia, Yacine
Laeven, Roger J.A.
Pelizzon, Loriana
A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation
Revue-Banque
2014 Billio, Monica
Frattarolo, Lorenzo
Pelizzon, Loriana
Liquidity Coinsurance and Bank Capital
Journal of Money, Credit and Banking
2014 Castiglionesi, Fabio
Feriozzi, Fabio
Loranth, Gyongyi
Pelizzon, Loriana
Health status and portfolio choice: Is their relationship economically relevant?
International Review of Financial Analysis
2014 Bressan, Silvia
Pace, Noemi
Pelizzon, Loriana
Deciphering the Libor and Euribor Spreads during the subprime crisis
North American Journal of Economics and Finance
2013
Pelizzon, Loriana
Sartore, Domenico
Econometric measures of connectedness and systemic risk in the finance and insurance sectors
Journal of Financial Economics
Selected
2012 Billio, Monica
Getmansky, Mila
Lo, Andrew W.
Pelizzon, Loriana
Dynamic risk exposures in hedge funds
Computational Statistics & Data Analysis
2012 Billio, Monica
Getmansky, Mila
Pelizzon, Loriana
Efficient portfolios when housing needs change over the life cycle
Journal of Banking and Finance
Selected
2009
Pelizzon, Loriana
Weber, Guglielmo
Diversification and ownership concentration
Journal of Banking and Finance
Selected
2008 Parigi, Bruno M.
Pelizzon, Loriana
Are Household Portfolios Efficient? an Analysis Conditional on Housing
Journal of Financial and Quantitative Analysis
Selected
2008
Pelizzon, Loriana
Weber, Guglielmo
Credit derivatives, capital requirements and opaque OTC markets
Journal of Financial Intermediation
2008 Nicolo, Antonio
Pelizzon, Loriana
Relative benchmark rating and persistence analysis: Evidence from Italian equity funds
European Journal of Finance
2005 Casarin, Roberto
Lazzarin, Marco
Pelizzon, Loriana
Sartore, Domenico
Contagion and interdependence in stock markets: Have they been misdiagnosed?
Journal of Economics and Business
2003 Billio, Monica
Pelizzon, Loriana
Value-at-Risk: a multivariate switching regime approach
Journal of Empirical Finance
2000 Billio, Monica
Pelizzon, Loriana