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PELIZZON Loriana

 

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Didattica a.a. 2014/2015 suddivisa per corsi di laurea

 

Venezia

 

L'orario di ricevimento è indicato nella pagina web del docente:http://venus.unive.it/pelizzon/teac.htm
per problemi urgenti scrivere a: pelizzon@unive.it

 



Attività e competenze di ricerca

Settore Scientifico Disciplinare (SSD) di afferenza
Settore Scientifico Disciplinare (SSD) affine
Aree e linee di ricerca

Competenze di ricerca

economia delle finanza

Description
  • regolamentazione bancaria
Parole Chiave
  • Business economics, Banking, Health economics
Codice ATECO
  • [64] - attività di servizi finanziari (escluse le assicurazioni e i fondi pensione)

economia delle finanza

Description
  • regolamentazione bancaria
Parole Chiave
  • Brokerage services, Private investment, Small Medium enterprise studies
Codice ATECO
  • [65] - assicurazioni, riassicurazioni e fondi pensione (escluse le assicurazioni sociali obbligatorie)

Ricerche sviluppate e in corso

Crisis, monetary policy, bank capital

SSD
  • SECS-P/02

Hedge funds

SSD
  • SECS-P/01

Household portfolios

SSD
  • SECS-P/01

Business Cycle Analysis

SSD
  • SECS-P/05
Altri membri del gruppo di ricerca

Bank cost of capital

SSD
  • SECS-P/01
Altri membri del gruppo di ricerca

Finanziamenti

Forme di finanziamento delle Pubblic Utilities

Ente finanziatore
  • AIM Vicenza Acque
Tipologia
  • Ricerca
Ruolo nel progetto
  • NS
Data inizio
  • Anno: 2009 Durata mesi:

Systemic risk

Ente finanziatore
  • Inquire Europe
Tipologia
  • borsa
Ruolo nel progetto
  • PT
Data inizio
  • Anno: 2011 Durata mesi: 12

Funding Liquidity, Crises and Systemic Risk

Ente finanziatore
  • Inquire Europe
Tipologia
  • Inquire Europe grant
Ruolo nel progetto
  • LD
Sito di progetto
  • http://www.inquire-europe.org
Data inizio
  • Anno: 2009 Durata mesi: 12
Altri membri del gruppo di ricerca

Market Institutions and Financial Market Risk

Ente finanziatore
  • NBER
Ruolo nel progetto
  • LD
Sito di progetto
  • http://www.nber.org/workinggroups/papers/FR.html
Data inizio
  • Anno: 2009 Durata mesi: 24
Altri membri del gruppo di ricerca

Funding liquidity, Crisis and Hedge Fund Risks

Ente finanziatore
  • CAREFIN Università Bocconi
Ruolo nel progetto
  • LD
Data inizio
  • Anno: 2009 Durata mesi: 12
Altri membri del gruppo di ricerca

Sovereign, Bank and Insurance Credit Spread: Connectedness and System Networks

Ente finanziatore
  • Europlace Institute of Finance, Paris
Ruolo nel progetto
  • LD
Data inizio
  • Anno: 2012 Durata mesi: 12
Altri membri del gruppo di ricerca

Modelli Statistici multivariati per la valutazione dei rischi

Ente finanziatore
  • MIUR
Tipologia
  • PRIN
Ruolo nel progetto
  • PT
Data inizio
  • Anno: 2011 Durata mesi: 36
Altri membri del gruppo di ricerca

Strumenti informatici per il supporto alla valutazione del merito creditizio in caso di più fonti informative.

Ente finanziatore
  • Regione veneto - Fondo Sociale Europeo
Tipologia
  • Assegno di ricerca
Ruolo nel progetto
  • PT
Data inizio
  • Anno: 2011 Durata mesi: 12
Altri membri del gruppo di ricerca

SYstemic Risk TOmography: Signals, Measurements, Transmission Channels, and Policy Interventions

Ente finanziatore
  • Commissione Europea 7mo Programma Quadro
Tipologia
  • Collaborative Project
Ruolo nel progetto
  • PT
Sito di progetto
  • http://syrtoproject.eu/
Data inizio
  • Anno: 2013 Durata mesi: 36
Altri membri del gruppo di ricerca

Aree geografiche in cui si applica prevalentemente l'esperienza di ricerca

Internazionale: Europa, America Settentrionale

Lingue conosciute

  • inglese (scritto: avanzato, parlato: avanzato)

Partecipazione come referees di progetti di ricerca nazionali ed internazionali

Padova - Progetti di ricerca di ateneo Svizzera - Swiss Finance Institute Scuola Normale di Pisa - progetti di ateneo ANVUR - valutazione pubblicazioni 2013 MIUR - valutazione progetti 2013

Pubblicazioni per Anno

2014

  • PACE N., PELIZZON L., BRESSAN S. Health status and portfolio choice: is their relationship economically relevant?, in INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, vol. 32, pp. 109-122 (ISSN 1057-5219) Link DOI (Articolo su rivista)

2013

  • L. Pelizzon, D. Sartore Deciphering the libor and euribor spreads during the subprime crisis, in NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, vol. 26, pp. 565-585 (ISSN 1062-9408) Link DOI (Articolo su rivista)
  • Merton R.C., M. Billio, M. Getmansky, D. Gray, A.W. Lo, L. Pelizzon On a New Approach for Analyzing and Managing Macrofinancial Risks, in THE FINANCIAL ANALYSTS JOURNAL, vol. 69, pp. 22-33 (ISSN 0015-198X) (Articolo su rivista)

2012

  • Billio M., Getmansky M., Pelizzon L. Dynamic Risk Exposure in Hedge Funds, in COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 56, pp. 2937-2953 (ISSN 0167-9473) Link DOI (Articolo su rivista)
  • BILLIO M., GETMANSKI M., LO A., PELIZZON L. Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, in JOURNAL OF FINANCIAL ECONOMICS, vol. 104, pp. 535-559 (ISSN 0304-405X) Link DOI (Articolo su rivista)
  • Billio M., Pelizzon L. Efficienza, interconnessione e rischio sistemico, in STATISTICA & SOCIETÀ, vol. 1/3, pp. 42-44 (ISSN 1722-8506) (Articolo su rivista)
  • BRESSAN S., PACE N., PELIZZON L. Health Status and Portfolio Choice: Does Feeling Better Affect your Attitude Towards Risk?, in GENEVA ASSOCIATION INFORMATION NEWSLETTER. HEALTH AND AGEING, vol. 26 Geneva Association Newsletter, pp. 9-13 (ISSN 1605-8283) (Articolo su rivista)
  • M. Billio, M. Caporin, L. Pelizzon, D. Sartore CDS Industrial Sector Indices, credit and liquidity risk, Credit Portfolio Securitisations and Derivatives, John Wiley & Sons, pp. 104-123 (ISBN 9781119963967) (Articolo su libro)
  • M. Billio, K.Y. Mamo, L. Pelizzon Crises and Fund of Hedge Funds Tail Risk, RECONSIDERING FUNDS OF HEDGE FUNDS: THE FINANCIAL CRISIS AND BEST PRACTICES IN UCITS, TAIL RISK, PERFORMANCE, AND DUE DILIGENCE, Amsterdam Netherlands: Elsevier -Disponibile On line, Fax: 011 31 20 4853598, pp. 110-140 (ISBN 9780124016996) (Articolo su libro)
  • PELIZZON L., CAPORIN M. Market volatility, optimal portfolios and naive asset allocations in C. Wehn, C. Hoppe, G. Gregoriou, Rithinking Valuation and Pricing Models, Elsevier, pp. 1-40 (ISBN 9780124158757) (Articolo su libro)

2011

  • Lorenzon I., Lucchetta M., Pelizzon L. Bank Credit to Medium-Sized Enterprises in Italy: The Trends Before and During the Crisis, in BANCARIA, vol. 2 2011, pp. 17-39 (ISSN 0005-4623) (Articolo su rivista)
  • PARIGI B., PELIZZON L., VONTHADDEN E. Stock Market Returns and CorporateGovernance in Capital MarketEquilibrium, WP Dip. of Economics, in WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE, in Dep. of Economics WP, Department of Economics, Universita' Ca Foscari Venezia, pp. 1-40 (ISSN 1827-3580) (Articolo su libro)
  • BILLIO M., GETMANSKY M., LO A., PELIZZON L. Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, in Dep. of Economics WP, vol. 21 (Working paper)

2009

  • PELIZZON L.; WEBER G Efficient Portfolios when Housing Needs Change over the Life-Cycle, in JOURNAL OF BANKING & FINANCE, vol. 33, pp. 2110-2121 (ISSN 0378-4266) (Articolo su rivista)
  • BILLIO M.; M. GETMANSKY; L. PELIZZON Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data, in THE JOURNAL OF ALTERNATIVE INVESTMENTS, vol. 12/1, pp. 21-38 (ISSN 1520-3255) (Articolo su rivista)
  • L. Pelizzon, R. Vendramin, D. Sartore Deciphering the Libor and Euribor Spreads during the Subprime crisis (Working paper)

2008

  • PELIZZON L.; G. WEBER Are Household Portfolios Efficient? an Analysis Conditional on Housing., in JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, vol. 43, pp. 401-431 (ISSN 0022-1090) Link DOI (Articolo su rivista)
  • NICOLO' A; PELIZZON L. Credit Derivatives: Capital Requirements and Opaque OTC Markets, in JOURNAL OF FINANCIAL INTERMEDIATION, vol. 17, pp. 444-463 (ISSN 1042-9573) (Articolo su rivista)
  • PARIGI B; PELIZZON L. Diversification and Ownership Structure, in JOURNAL OF BANKING & FINANCE, vol. 32, pp. 1743-1753 (ISSN 0378-4266) (Articolo su rivista)
  • CASARIN R; PIVA A; PELIZZON L. Italian Equity Funds: Efficiency and Performance Persistence, in THE ICFAI JOURNAL OF FINANCIAL ECONOMICS, vol. 6, pp. 7-28 (ISSN 0972-9151) (Articolo su rivista)
  • NICOLO' A; PELIZZON L. Asymetric Information and Opacity in Credit Derivatives Markets in GREGORIOU G.; ALI P., The Credit Derivatives Handbook: Global Perspectives, Innovations and Market Drivers, NEW YORK, McGraw-Hill, pp. 57-75 (ISBN 9780071549523) (Articolo su libro)
  • BILLIO M.; GETMANSKY M; PELIZZON L Calculating VaR for Hedge Funds in GREG N. GREGORIOU, The VAR Implementation Handbook. Financial Risk and Measurement, and Modeling, McGraw Hill, pp. 3-24 (ISBN 9780071615136) (Articolo su libro)
  • CASARIN R; PIVA A; PELIZZON L. Italian Equity Funds: Efficiency and Performance Persistence, WORKING PAPER, DEPARTMENT OF ECONOMICS, in WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE, in Department of Economics, Ca' Foscari University of Venice, Working Paper, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 12/WP/2008, pp. 1-23 (ISSN 1827-3580) (Articolo su libro)
  • GIACOMELLI A; PELIZZON L. Operational Risk based on Complementary Loss Evaluations in GREGORIOU G., Operational Risk: Best Practices and Issues in Modelling, HOBOKEN, John Wiley and Sons, pp. 69-84 (ISBN 9780470390146) (Articolo su libro)

2007

  • PARIGI B; PELIZZON L. Diversification and Ownership Concentration, vol. 29/07 (Working paper)
  • BILLIO M.; GETMANSKY M; PELIZZON L Dyamic Risk Exposure in Hedge Funds, vol. 17/07 (Altro)
  • PELIZZON L.; WEBER G Efficient Portfolios when Housing Needs Change over the Life-Cycle (Altro)

2006

  • BILLIO M.; GETMANSKY M; PELIZZON L Phase-Locking and Switching Volatility in Hedge Funds, 5406, in WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE, Venezia, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 5406, pp. 1-45 (ISSN 1827-3580) (Articolo su libro)
  • PELIZZON L.; S. SCHAEFER Pillar 1 vs Pillar 2 under risk management in M. CAREY AND R. STULZ, Risks of Financial Institutions, Oxford Press (ISBN 9780226092850) (Articolo su libro)
  • PELIZZON L.; G. WEBER Are Household Portfolios Efficient? An Analysis Conditional on Housing, vol. 55/06 (Working paper)
  • PELIZZON L.; NICOLO' A Credit Derivatives: Capital requirements and the Opaque OTC Markets, vol. 58/06, 2006 (Altro)

2005

  • CASARIN R; LAZZARIN M; PELIZZON L; SARTORE D. Relative benchmark rating and persistence analysis: Evidence from Italian equity funds, in EUROPEAN JOURNAL OF FINANCE, vol. 11/4, pp. 297-308 (ISSN 1351-847X) (Articolo su rivista)
  • BILLIO M.; LO DUCA M; PELIZZON L Contagion Detection with Switching Regime Models: a Short and Long Run Analysis (Altro)
  • NICOLO' A; PELIZZON L. Credit Derivatives: Capital requirements and Strategic Contracting (Altro)
  • PARIGI B; PELIZZON L. Diversification and Ownership Structure (Altro)
  • PELIZZON L.; S. SCHAEFER Pillar 1 vs Pillar 2 under risk management (Altro)

2004

  • PELIZZON L.; SOTTANA E.; RETTORE E. Retail Mortgage Backed Securities, Commercial Asset Backed Securities and Corporate Bonds: a Credit Spread Comparison, in RIVISTA INTERNAZIONALE DI SCIENZE ECONOMICHE E COMMERCIALI, vol. 51, pp. 477-496 (ISSN 0035-6751) (Articolo su rivista)

2003

  • BILLIO M.; PELIZZON L. Contagion and Interdependence in Stock Markets: Have they been misdiagnosed?, in JOURNAL OF ECONOMICS AND BUSINESS, vol. 55, 5/6, pp. 405-426 (ISSN 0148-6195) (Articolo su rivista)
  • BILLIO M.; PELIZZON L. Volatility and shocks spillover before and after EMU in Europe stock markets, in JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT, vol. 13, 4/5, pp. 323-340 (ISSN 1042-444X) (Articolo su rivista)
  • CASARIN R.; PELIZZON L.; PIVA A. Italian Equity Funds: Efficiency and Performance Persistence in BASSO A.; PIANCA F., Rendiconti per gli Studi Economici Quantitativi (Articolo su libro)
  • CASARIN R.,PELIZZON L.,PIVA A. Italian Equity Funds: Efficiency and Performance Persistence, Atti della giornata di studio Metodi Numerici per la Finanza, Applied Mathematics Department, University of Venice, vol. UNICO, Convegno: giornata di studio Metodi Numerici per la Finanza, 2003-30 Maggio (ISBN 9788888037066) (Articolo in Atti di convegno)
  • CASARIN R; LAZZARIN M; PELIZZON L.; SARTORE D Relative Benchmark Rating and Persistence Analysis: Evidence from Italian Equity Funds, pp. 1-24 (Working paper)
  • PELIZZON L.; WEBER G. Are Italian Household Portfolios Efficient? A Mean-Variance Analysis Conditional on Housing, vol. 3890, pp. 1-44 (Altro)

2002

  • BISON G.; PELIZZON L.; SARTORE D. La copertura dei rischi finanziari nelle imprese non finanziarie italiane attraverso gli strumenti derivati, in MONETA E CREDITO, vol. 56/217, pp. 55-75 (ISSN 0026-9611) (Articolo su rivista)
  • PELIZZON L.; SCHAEFER S. Do Bank Risk Management and Regulatory Policy Reduce Risk in Banking (Altro)
  • MASSA I.; NICOLO' A.; PELIZZON L. Signaling and Rinegotiation in the Credit Derivatives Market (Altro)

2000

  • GRAVA T.; PELIZZON L.; SARTORE D. La style Analysis nel mercato Azionario Italiano, in RIVISTA ITALIANA DEGLI ECONOMISTI, vol. 3, pp. 387-412 (ISSN 1593-8662) (Articolo su rivista)
  • BILLIO M.; PELIZZON L. Value-at-Risk: a multivariate switching regime approach, in JOURNAL OF EMPIRICAL FINANCE, vol. 7, pp. 531-554 (ISSN 0927-5398) (Articolo su rivista)

1999

  • CITTADINI A.; FANTINO S.; PELIZZON L. Requisiti patrimoniali: modello standard e modello interno a confronto, in RIVISTA BANCARIA. MINERVA BANCARIA, vol. 55/01, pp. 44-50 (ISSN 1594-7556) (Articolo su rivista)
  • PELIZZON L. Derivati: le scelte di convenienza in SARTORE D., Gli strumenti derivati: Analizzare, prevedere e coprire i rischi finanziari nelle imprese, MILANO, IPSOA, pp. 57-69 (Articolo su libro)
  • BERARDI A.; PELIZZON L. LE OPZIONI in SARTORE D., Gli strumenti derivati: Analizzare, prevedere e coprire i rischi finanziari nelle imprese, MILANO, IPSOA, pp. 23-33 (Articolo su libro)

1998

  • BILLIO M; PELIZZON L. A Switching Volatility Approach to Estimate Value-at-Risk, Convegno: Chicago Risk Management Conference, MAGGIO (Articolo in Atti di convegno)

1997

  • BILLIO M; PELIZZON L. Pricing Options with Switching Volatility in HIPP C., Money, Finance, Banking and Insurance, BADEN-BADEN, Nomos Verlang, pp. 24-42 (ISBN 9783884876497) (Articolo su libro)

1994

  • PELIZZON L.; WEBER G. The Italian Term Structure and the Currency Devaluation of September 1992: a FACTOR-ARCH Analysis, in STATISTICA, vol. 65, pp. 313-327 (ISSN 0390-590X) (Articolo su rivista)

Curriculum di Loriana PELIZZON

Personal Details

Name:            Loriana Pelizzon                                   Status: Married

Address:         Department of Economics                      Children: Luca Sandel (12/1/1999) 
                       University of Venice                               Date of birth: 21/07/1967 
                       Fondamenta S. Giobbe 
                       30123 Venice (ITALY)                            Nationality: Italian

 

Email: loriana.pelizzon@unive.it    

WEB site:venus.unive.it/pelizzon/

Tel:       +39 041 2349164              

Fax:     +39 041 2349176

 

 

 

Areas of interests:    Risk Management and Capital Requirements, Credit Derivatives, Credit risk, Systemic risk, Financial crisis and contagion, Asset allocation and portfolio selection, household portfolios, Mutual funds performance, Hedge funds, Corporate Governance, Systemic Risk.

 

Current and previous positions

 

2006-              Associate Professor in Economics, University of Venice

2004-05           Assistant Professor in Economics, University of Venice

2000-04           Assistant Professor in Economics, University of Padua.

1999-00           Research Fellow, University of Venice.

1998-00           Teaching Fellow in Economics and Finance, University of Padua,

1991–95           Risk Management Consultant (Credito Italiano, Banca Nazionale del Lavoro, Cassa di Risparmio di Bologna, Banca Popolare di Sondrio, Cassa di Risparmio di Venezia, Euromobiliare, GRETA).  EU research projects: Human capital and Mobility, TACIS, ACE.

 

Graduate and postgraduate education and qualification

 

1996 - 01       London Business School, PhD in Finance. Viva on 4 February 2002.

1986 - 91       University of Venice, Laurea Degree in Business Administration (Summa cum Laude).

 

Other Positions

 

2011-2012:      Visiting Professor, MIT Sloan School of Management, Cambridge, US

2007 (May):     Visiting Professor, Isenberg School of Management, University of Massachusetts, Amherst, US.

2007 (April):   Visiting Professor, CES Paris 1 et ENS CACHAN, Paris, FR.

2003-2008 :     Occasional Visiting Professor, London Business School, London, UK

 

Awards

 

2009 -   Award for the Most Significant Paper published in the Journal of Financial Intermediation 2008

2008 - Best Teacher Award: Faculty of Economics, 2006/2007

2007 - Best Teacher Award: Faculty of Economics, 2005/2006

2005 -  Best paper Award: FMA European Conference, 2005 -  “Credit Derivatives: capital requirements and strategic contracting” (with A. Nicolo’)

2005 -  Best paper Award: EFA 2005 - Barclays Global Investor Award for the Best Symposium paper-  “Diversification opportunities and ownership structure” (with B. Parigi)

 

Scholarships

 

1999-00                   University of Venice, post-doc scholarship.

1997-98         TMR-T30, post-doc scholarship

1996-99         ESRC, scholarship for post-graduate studies

1995-96                HCM-T20, scholarship for post-graduate studies

1989-90                Erasmus

1987              Club Soroptimist

 

Teaching

 

2011-12       MIT Sloan; MBA course: Finance Theory I.

2010-          University of Venice; Faculty of Economics; undergraduate course (Bachelor) Introduction to Financial Economics.

2008-          University of Venice; Faculty of Economics; postgraduate course (Laurea specialistica) International Finance.

2003-          Venice International University, Master course: Banking (in English), Master in Economics and Finance.

1997-          Venice International University, Master course: Financial Markets (in English), Master in Economics and Finance. (with S. Schaefer)

2007-10       SSE; PhD in Economics; Financial Economics ((in English).

2008-10       University of Venice; Faculty of Economics; postgraduate course (Laurea specialistica) Financial Economics.

2006-09       University of Venice; Faculty of Economics; undergraduate course: Microeconomics I

2004-08       International Master in Nanotechnologies, CIVEN, postgraduate course: “Start up corporate finance” (in English)

2006-07       University of Venice; Faculty of Economics; postgraduate course (Laurea specialistica) Risk Management (Part B).

2005-07       University of Venice; Faculty of Economics; undergraduate course: Microeconomics II

2004-06       University of Padua, Faculty of Economics, postgraduate course (Laurea specialistica): Risk Management

2002-03       University of Padua, Faculty of Economics, undergraduate course: Macroeconomics

2002-04       University of Padua, Faculty of Economics, Master course: Accounting and Finance (in English), Master in European Fragrance and Cosmetic. (with F. Buttignon)

2000-05       University of Padua, Faculty of Economics, undergraduate course: Foundations of Finance

2000 -05      University of Padua, Dottorato in Economia & Management (PhD in Economics &     Management), postgraduate course: Macroeconomics and Finance

1997- 00      CUOA, Master course: Risk managements, Master in Banking and Finance.

 

PhD Thesis Supervision

 

-      Lucchetta Marcella, Banks Merge and Acquistion, University of Venice, March 2007.

 

-      Massa Isabella, Essay on Stock Market Development and Economic Growth, University of Venice, September 2008

 

-      Fontana Alessandro, Credit Risk, University of Venice, September 2010

 

-      D’Avino Carmela, Essay in Macrofinance, March 2011

 

 

Academic Duties:

 

2011-          Member of the Scientific Committee BSI Gamma Foundation

 

2009-          Member of the EFA Executive Committee

 

2009-          President of the Teaching Committees of the Graduate programme in International Trade.

 

2008-          Local Coordinator of the Erasmus Mundus QEM, EU Erasmus Mundus Master programme jointly managed with Universitat Autònoma de Barcelona, Universität Bielefeld, Université Paris 1 Panthéon-Sorbonne.

 

2008-          Member of the Teaching Committees of the Undergraduate and Graduate programmes in: Accounting and Finance degree, Economics and Finance degree.

 

2008-          Member of the Board of the C.E.G. (Centro Interdipartimentale di cultura ed economia della Globalizzazione).

 

2007-          Member of the ICEF (International Center of Economics and Finance) and CPFE (Center for Public Finance and Economics), Department of Economics, Venice

 

2007-          Coordinantor of the Undergraduate Exchange Programs (Erasmus) with Goethe University, Frankfurt and Warwick University, Warwick

 

2006-          Coordinantor with Bruno Gerard (Mellon Capital Management and Norwegian School of Management) and Frans de Roon (Tilburg University) of the EFA/EIASM Doctoral Tutorials.

 

2004-          PhD in Economics, University of Venice: Member of the Teaching Committee.

 

2002-          Local Organizer C.R.E.D.I.T. Conference, Venice,

 

2006            Coordinator EDEN Doctoral Seminar on Credit Risk modeling, Department of Economics, University of Venice, SSAV and EIASM

 

2006            Coordinator Doctoral Tutorial on Credit Risk, Department of Economics, University of Venice, SSAV and EIASM

 

2005            Distinguished PhD Seminar Tutor, "MERTON H. MILLER" DOCTORAL SEMINAR, EFMA 2005

 

2005            Distinguished PhD Seminar Tutor, EFA/EIASM Doctoral Tutorial 2005.

 

2004-06            Dottorato in Economics and Management, Univerista’ di Padova, Coordinator of the Macroeconomic area

 

 

Research Project

 

International Research projects

 

EIB-CREDIT Network: research in the credit thematic development at European level, 2008-

Enquire Europe grant: “Funding Liquidity, Crises and Systemic Risk” con Monica Billio, Mila Getmansky and Andrew Lo, 2009-11

NBER project on Risk in Financial Institutions, Coordinator M. Carey and R. Stulz, with Andrew Lo, Mila Getmansky and Monica Billio, 2009-11

Ania Research project on “Reverse Mortgage” with V. Angelini and G. Weber, 2009-10

FDIC Project (Federal Deposit Insurance Corporation, USA): “The impact of Basel II on the cost of the deposit insurance when the bank engage in risk management”, with S. Schaefer, Coordinator: George Pennacchi, 2004-2005

NBER Project on the Risks of Financial Institutions and on the Financial Sector, directed by Prof. René Stulz, 2003-2005

CREDIT – European Network on Credit Risk Management. Members: Center for Economic Research, Tilburg University, Tilburg, European Centre for Advanced Research in Economics and Statistics, Bruxelles GRETA, Venice, Groupe de Recherche en Economie et Statistique, Paris, Copenhagen Business School, Copenhagen,  London Business School, London, Universidad Carlos III, Madrid, Swiss Federal Institute of Technology, Zurig, 2001 -

TMR- European Community Individual Fellowship “A new option approach to risk assessment and capital requirements”, Supervisor Prof. Stephen Schaefer (London Business School), 1997-1998

HCM, European Community individual Fellowship “Option with stochastic Volatility: Pricing and Hedging”, Re nr. ERBCHBICT941825. Supervisor Prof. Stephen Schaefer (London Business School), 1995-1996

HCM, European Community Project on "A Comparison of Econometric Techniques for Inference Based on Financial Data: Theory and Applications”. Directed by Prof. Sartore (GRETA); Re nr. CHRXCT930238. Partners Prof. S. Schaefer (London Business School), Prof. C. Gourieroux (ENSAE), Prof. T. Nijman (CentER), Prof. M. Boldrin (Univ. Carlos III).

ACE “Risk Management in Eastern Europe Financial Institutions: Development of New Analytical Tools and Software”. Directed by Prof. Sartore (GRETA); Re nr. 94-0745-R. Partners: Prof. S. Schaefer (London Business School), Prof. I. Popa (Accademy of Economic Studies, Bucharest), A. Mircea (IPACRI Romania, Bucharest).

TACIS, “Financial Optimization in the New Independent States' Financial Institutions”, Directed by Prof. Sartore (GRETA) Re nr. T94-1026-R. Partners: Prof. Saltking (Imperial College-London), Prof. Zabotin (State Univ. of Kazan-Russia), Prof. Yurchyshyn (International Center of Policy Studies di Kiev-Ucraina)

 

Italian Research projects

 

2009-2011: CAREFIN Bocconi University, Funding liquidity crisis and Hedge Fund Risks con Andrew Lo, Mila Getmansky and Monica Billio.

2008-2009: Tutor with A. Brugiavini of a research grant on: “Pension funds: macroeconomic and financial stability implications”;

2007-2009: COFIN “Health, Pension and Portfolio Choices” coordinated by T. Jappelli and A. Brugiavini;

2007-2008: Unicredit-Pioneer research project: “Optimal portfolio composition when real assets and liabilities, inflation and loss aversion are taken into account”, with G. Weber;

2005-2007: COFIN “Pensions and pension plans” coordinated by T. Jappelli and A. Brugiavini; 2005-2007: Unicredit-Pioneer research project: “Efficient portfolio conditional on housing” with G. Weber;

2003-2005: COFIN “Consumption and household portfolio choice” coordinated by T. Jappelli and G. Weber;

2002-2004: COFIN: “Optimal financial contracts for risk sharings, Incentives, Research and Development  coordinated by  P. Gottardi and B. Parigi;

2001-2003: COFIN: “Microeconomics analysis of consumer choice” coordinated by T. Jappelli and G. Weber;

2000-2002: Progetto di Ateneo: “Deposit Insurance, dynamic portfolio choice and bank regulation” coordinated by L. Pelizzon;

2000-2002: MURST: “Information production; financila structure and incentive schemes” coordinated by P. Reichlin and  G. Chiesa;

2000-2003: CNR - Agenzia 2000: “Estimation of household portfolio choice model” coordinated by R. Manca and G. Weber. 

 

11/1991-6/1995 - GRETA Research projects: Risk management with options (with Prof. G. Weber); An Analysis of the Italian Term Structure (with Prof. G. Weber); Time series analysis of credit accounts (with Prof. D. Sartore); project financing; Asset & Liability Management (with Dott. Gianni Fuolega and Prof. Domenico Sartore); Risk management tools.

 

 

Pubblications

 

a)  Completed

 

Published papers:

 

Billio M., M. Getmansky, A. Lo and L. Pelizzon (2012), Econometric Measures of Systemic Risk in Finance and Insurance sectors, MIT WP 4774-10, NBER WP 16223, forthcoming Journal of Financial Economics

 

Billio M., M. Getmansky and L. Pelizzon (2011) Dynamic Risk Exposure in Hedge Funds, Yale ICF WP 07-14, forthcoming Computational Statistics and Data Analysis

 

Lorenzon I., M. Lucchetta and L. Pelizzon (2011),Il credito bancario alle imprese: le dinamiche prima e durante la crisi, Bancaria, 2, 20-32

 

Angelini V., G. Weber and L. Pelizzon (2010), “Le scelte abitative degli anziani e la domanda di “reverse mortgage” in Brugiavini A. and T. Jappelli (eds.), Verso un nuovo sistema di architettura sociale per la famiglia. Rischi economici e domanda di assicurazione, Il Mulino, Bologna.

 

Pelizzon L and G. Weber (2009), "Efficient Portfolios when Housing Needs Change over the Life-Cycle" Journal of Banking and Finance, 33, 11, 2110-2121.

 

Billio M., M. Getmansky and L. Pelizzon (2009) Non-Parametric Analysis of Hedge Fund Returns:  New Insights from High Frequency Data, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 11/08. Journal of Alternative Investments. 12/1, 21-38

 

Pelizzon L and G. Weber (2008) Are Household Portfolios Efficient? An Analysis Conditional on Housing, CEPR DP3890, Journal of Financial and Quantitative Analysis, 43, 2, 401-432.

 

Nicolo’ A. and L. Pelizzon (2008), Credit Derivatives: Capital requirements and Opaque OTC markets, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 58/06, Journal of Financial Intermediation, 17, 444–463

 

Parigi B. and L. Pelizzon (2008), Diversification and Ownership Structure, CESifo Working Paper 1590. Journal of Banking and Finance, 32, 9, 1709-1722.

 

Billio M., M. Getmansky and L. Pelizzon (2008), Calculationg VaR for Hedge funds, in G. Gregoriou (Ed.), The Var Implementation Handbook, McGraw-Hill.

 

Nicolo’ A. and L. Pelizzon (2008), Asymmetric Information and Opacity in Credit Derivatives Markets, in G. Gregoriou and P. U. Ali (Eds.) The Credit Derivative Handbook: Global Perspectives, Innovations and Market Drivers, McGraw-Hill, 57-76.

 

Casarin R., L. Pelizzon and A. Piva (2008), Italian Equity Funds: Efficiency and Performance Persistence, The Icfai Journal of Financial Economics, 6, 1, 7-28.

 

Giacomelli A. and L. Pelizzon (2008), Operational Risk based on Complementary Loss Evaluations, in G.N. Gregoriou (Ed.), Operational Risk Towards Basel III: Best Practices and Issues in Modeling, Management and Regulation, John Wiley and Sons, Hoboken, New Jersey

 

Pelizzon L. and S. Schaefer (2006), Pillar 1 vs Pillar 2 under risk management. In: M. Carey and R. Stulz (Eds) Risks of Financial Institutions and of the Financial Sector, Oxford Press, 377-409

 

Casarin, R., M. Lazzarin, L. Pelizzon, and D. Sartore, (2005) Relative Benchmark Rating and Persistence Analysis: Evidence from Italian Equity Funds, European Journal of Finance, 11, 4, 297-308

 

Pelizzon L., E. Sottana and E. Rettore (2004), Retail Mortgage Backed Securities, Commercial Asset Backed Securities and Corporate Bonds: a Credit Spread Comparison, Rivista Internazionale delle Scienze Economiche e Commerciali, 51, 4, 477-496.

 

Billio M. and L. Pelizzon (2003) Contagion and Interdependence in Stock Markets: Have They Been Misdiagnosed?, Journal of Economics and Business, 55, 405-426.

 

Billio M. and L. Pelizzon (2003) Volatility and Shocks Spillover before and after EMU in European Stock Markets, Journal of Multinational Financial Management, 13, 323-340

 

Casarin R., L. Pelizzon and A. Piva (2003), Italian Equity Funds: Efficiency and Performance Persistence, WP 00.06 GRETA and in Atti della Giornata di Studio su Metodi numerici per la finanza, Venezia, ISBN 88-88037-06-3, 55-76

 

Bison G., Pelizzon, and D. Sartore (2002) La copertura dei rischi finanziari nelle imprese italiane attraverso gli strumenti derivati. Moneta e Credito, 56/217, 55-75.

 

Pelizzon (2001) Bank Portfolio Management and Regulatory Polices, PhD Thesis, London Business School, University of London

 

Billio M. and L. Pelizzon, (2000), Value-at-Risk: a Multivariate Switching Regime Approach,  Journal of Empirical Finance, n. 7, 531-554.

 

Grava T., L. Pelizzon and D. Sartore (2000), La style analysis nel mercato Azionario Italiano, Rivista Italiana degli Economisti, 3, 387-412

 

Billio M. and L. Pelizzon, (1998), “A Switching Volatility Approach to Estimate Value-at-Risk”, Proceeding of the conference: Chicago Risk Management Conference, Chicago 7-8 May.

 

Billio M. and L. Pelizzon (1997), “Pricing Options with Switching Volatility”, Money, Finance, Banking and Insurance, C. Hipp (a cura di), Verlang, VVW 1997, ISBN 3-88487-649-X and in “Nota di Lavoro”, University of Venice, n. 97.07.

 

Pelizzon L. and G. Weber, (1994), "The Italian Term Structure and the Currency Devaluation of September 1992: a FACTOR-ARCH Analysis". Pubblicato in Rivista Statistica, 1994, n. 3 and in B. Chiandotto and G.M. Gallo (a cura di) In Quest of the Philosopher’s Stone, 147-162, 1995, Atti del convegno satellite SIS.

 

 

Cittadini A., S. Fantino and L. Pelizzon (1999), “Requisiti patrimoniali: modello standard e modello interno a confronto”,  Bancaria, n. 55/01, 44-50.

 

Pelizzon L. (1998), Derivati: le scelte di convenienza, Amministrazione e finanza, and in D. Sartore (ed.) “Gli strumenti derivati: Analizzare, prevedere e coprire i rischi finanziari nelle imprese”, Ipsoa, 57-69, 1999.

 

Berardi A. L. Pelizzon (1998), Le opzioni, Amministrazione e finanza, and in D. Sartore (ed.) “Gli strumenti derivati: Analizzare, prevedere e coprire i rischi finanziari nelle imprese”, Ipsoa, 23-33, 1999

 

Iannaccone M., L. Pelizzon, and C. Scardovi (1998), “Pianificare il credito e gestire il rischio con i credit derivatives”, Banche e Banchieri,

 

Cittadini A. and L. Pelizzon (1997), “Misurazione e gestione del rischio di tasso: tre modelli a confronto”, Bancaria n. 53/03, GRETA WP, 97.01

 

Diprima P., L. Pelizzon and D. Sartore, (1993), "Analisi statistica e proiezione dinamica di alcuni aggregati creditizi: utilità operativa nella gestione bancaria" Bancaria, 49/2.

 

Research papers

 

Bressan S., Pace N, and L. Pelizzon (2012), Health Status and Portfolio Choice: Does feeling better affect your attitude towards risk?, Dep. of Economics, Ca’ Foscari WP

 

Castiglionesi F., F. Feriozzi, G. Loranth and L. Pelizzon (2011) Liquidity Coinsurance and Bank Capital, Tilburg WP.

 

E. vonThadden E., B. Parigi and L. Pelizzon (2010) Competition in shareholders protection and portfolio diversification. DSE Ca’ Foscari Working Paper.

 

Billio M., M. Getmansky and L. Pelizzon (2010) Crises and Hedge Funds Risk, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 10/08. Under revision Review of Finance

 

Pelizzon L and G. Weber (2008) Optimal portfolio composition when real assets and liabilities are taken into account, Trends in Saving and Wealth n.1/2008, Pioneer Investments.

 

Pelizzon L. and S. Schaefer (2006), Do Bank Risk Management and Regulatory Policy Reduce Risk in Banking?. London Business School, IFA working paper No. 371.

 

Pelizzon L and G. Weber (2005) Efficient Portfolios Conditional on Housing: Evidence from the UCI survey, Trends in Saving and Wealth n.9/2005, Pioneer Investments.

 

Billio M., M. Lo Duca and L. Pelizzon (2005), Contagion Detection with Switching Regime Models: a Short and Long Run Analysis, mimeo, University of Venice

 

Billio M., M. Lo Duca and L. Pelizzon (2003), Contagion and interdependence: some word of caution, University of Venice

 

Billio M., L. Pelizzon and D. Sartore (2003), Dynamic Derivative Use: A Pseudo-Panel Analysis, mimeo, University of Venice.

Billio M., M. Lo Duca and L. Pelizzon (2003), The DCC test: powerless evidence of no contagion, Working paper 0307 GRETA, Venice.

 

 

b)     in progress

 

·      Networks and Market Microstructure (with M. Getmansky, Isemberg School of Management University of Massachusetts and R. Jagannathan, Kellog School of Management, Nothwestern University).

·      Networks and the Bond Market (with M. Getmansky, Isemberg School of Management University of Massachusetts and E. Hotchkiss, Boston College).

·      Cluster Jumps in Credit Risk (with Roger Laeven, Amsterdam University and Y. Ait-Sahalia, Princeton University).

·      Sovereign Contagion, (with M. Caporin, F. Ravazzolo, Norgen Bank, R. Rigobon, MIT Sloan)

·      The Sub-Prime Crisis and the Relationship between CDS and Credit Spreads, (with V. Acharya, NYU Stern, A. Fontana, Univeristy of Geneve, S. Schaefer, London Business School).

·      Monetary Policy and the EURIBOR during the 2007-08 Turmoil (with D. Sartore,  R. Vendramin, Ca’ Foscari University of Venice)

·      Financial Crisis and Contagion: a Switching Regime Approach (with M. Billio, Ca’ Foscari University of Venice, M. Lo Duca, ECB)

·      Why Banks Finance Bad Projects? (with M. Lucchetta, European University Institute , Kose John, Stern NYU)

·      Funding Liquidity, Crises and Systemic Risk (with A. Lo, MIT Sloan School of Management, M. Getmansky, Isemberg School of Management University of Massachusetts)

·      Weather and Energy derivatives instruments and markets (with M. Caporin, University of Padua)

 

 

Conferences, workshops and seminars

 

I gave or discuss papers at the following conferences:

 

CAREFIN Workshop, Bocconi University, Milan, February 2012, Social Responsible Investment, BSI Gamma Foundation, Zurich, February, 2012, Workshop on Quantitative Finance, L’Aquila, January 2012, Systemic Risk Workshop, MIT Sloan, December, 2011, Measuring Risk, Princeton University, October, 2011, WU Gutmann Center Symposium 2011 , Liqudity and Asset Management, June 15, 2011, Wein, Inquire UK and Inquire Europe Joint spring seminar 2011, 3-5 April, Cambridge, UK, CEPR-FRIAS conference on "Liquidity, Information and Trust in Incomplete Financial Markets", Freiburg, October 2010, Conference on Liquidity and Liquidity Risks, Frankfurt, September 2010,  European Finance Association, Frankfurt 2010, NBER Conference on Market Institutions and Financial Market  Risk, New York, June 2010, BIS Workshop on Systemic Risk, Basel, May 2010, Workshop on Systemic Risk, Cambridge, March 2010, ABI workshop: Bank Competition, January 2010, ECB Workshop on "Challenges to monetary policy implementation beyond the financial market turbulence", Frankfurt, November 2009, Societa’ Italiana degli Economisti, Roma, October 2009, CREDIT2009, Venezia Settembre 2009, European Finance Association, Bergen, August 2009, NBER Summer Institute on Market Risk and Credit Risk, Boston, July 2009, Tinbergen conference on crashes and systemic crises in financial markets, March 2009, Mathematical and statistical methods for actuarial sciences and finance (MAF), March 2009, CEPR Conference on the Financial Crisis, Barcellona, May 2009, FIRS Finance Conference 2009, Prague, May 2009, Unicredit Meeting, Vienna, October 2008, CREDIT2008, Venice, 2008, European Finance Association, Athens, 2008, VIIth International Summer School on Risk Measurement and Control, Rome, July 2008, FIRS Finance Conference, Anchorage, US, June 2008, Joint workshop BCBS and CEPR: “Risk transfer mechanisms and financial stability”, Basel, May 2008, NBER meeting: Risks of Financial Institutions, Chicago, US, April 2008, 2007 Interaction of Market and Credit Risk, ECB Conference, Berlin, December 2007, 2nd Conference on Bank Regulation—Integration and Financial Stability, Mannheim, October, 2007, CREDIT2006, Venice, 2007, European Finance Association, Lubiana, 2007, CEPR Summer Symposium in Financial Markets, Gerzensee, 2007,  Western Finance Association, Montana, 2007, Workshop on Real Option, Rimini, 2007, XV International Tor Vergata Conference on Banking and Finance, Roma, 2006, CREDIT2006, Venice, 2006, European Financial Association, Zurich, 2006, CEPR Summer Symposium in Financial Markets, Gerzensee, 2006, Workshop on Risk Management and Regulation in Banking,  Basel, 2006, 2nd Csef-Igier Symposium on Economics and Institutions, C6, Naples, 2006, European Banking Symposium, Milano, 2006. Gutmann Center Symposium on Real Assets and Portfolio Management, Wein , 2006, C.R.E.D.I.T. 2005, Venice 2005 , European Financial Association, Moscow, 2005, European Financial Management Association, Milan, 2005, Banco de Portugal Conference on “Financial Fragility and Bank Regulation”, Lisbon, 2005; Financial Management Association International, Siena, 2005; VI workshop Finanza Quantitativa, Univ. Bocconi, Milan, 2005; AFBC Conference, Sydney, 2004; NBER Conference, Woodstock N.H., 2004; European Financial Management Association, Basel. 2004; FDIC workshop on Deposit Insurance, Washington, 2004, Banking, Insurance and Intermediation Capri, 2004, Accounting, Transparency and Bank Stability, Basel, 2004; Project on the Risks of Financial Institutions and of the Financial Sector Preconference, Boston, 2004 , European  Financial Association, Glasgow, 2003; Western Financial Association, Los Cabos, 2003; European Financial Management Association, Helsinki, 2003; RTN on the Economics of Aging, Naples, 2003; IV Workshop di Finanza Quantitativa, Turin, 2003; C.R.E.D.I.T. 2002, Venice 2002; European Financial Association, Berlin, 2002; European Financial Management Association, London, 2002; Financial Management Association International, Copenhagen, 2002; DGF Conference, Wein 2001; Financial Management Association International, Paris, 2001 ; AFBC 2000, Sydney, 2000; “European Financial Association 27th Annual  Meeting” (EFA), London 2000; EURO XVI, Brussels, 1998; “Financial Management Association and  European Financial Management Association” (FMA-EFMA), Lisbon, 1998; “The Microeconomics of Financial Intermediation”, Ca’ Dolfin, Università di Venezia, 1998; EURO Working Group on Financial Modelling - 21st Meeting, Venezia, 1997; “European Financial Association 24th Annual  Meeting” (EFA), Wein, 1997; “1997 Annual Meeting of the European Financial Management Association” (EFMA), Istanbul, 1997; “7th Symposium Money, Finance, Banking and Insurance” Karlsruhe , 1996; Second Workshop on Financial Modelling and Econometric Analysis" Paris, 1994; Convegno satellite SIS (Societa’ Italiana Statistici), Imperia, 1993

 

 

Invited seminars at the following universities - Institutes: 

MIT Sloan seminar, Cambridge, (USA), Boston College, Boston (USA), Fed NY seminar, New York, (USA), NYU Stern, New York, (USA), Yale University, New Haven, (USA), University of Brescia, Brescia (Italy), Goethe University, Frankfurt (Germany) Cass Business School, London (UK) Bank of Italy, Rome, (Italy), Federal Reserve Bank of Chicago, Chicago, (US), University of Bozen, Bozen, (Italy) Wein University, Wein, (Austria) European Central Bank, Frankfurt, (Germany), Tilburg University, Tilburg, (The Netherlands) Stern Business School, NYU, (US) Isenberg School of Management, University of Massachusetts, (US), Goethe University, Frankfurt (Germany), Humboldt University, Berlin, (Germany), London Business School, London, (UK); University of Mahnneim, Mahnneim, (Germany); University of Lisbon, Lisbon, (Portugal); University of Porto, Porto, (Portugal); Ente Einaudi, Roma, (Italy), Univeristy of Zurich, Zurich (Switzerland), European Central Bank, Frankfurt, (Germany), Universita’ della Svizzera Italiana, Lugano (Switzerland) , Torino (Italy), CSEF, Salerno (Italy), Bologna (Italy) Università Bocconi, “Centro Baffi”, Milan (Italy), Brescia (Italy), Trento (Italy), Katholieke Universiteit of Leuven, (Belgium), London Business School, London (UK), University of  Padua, Padua, (Italy), University of Venice, Venice, (Italy).

 

Refereeing

 

Papers refereed for the following journals: Journal of Financial and Quantitative Analysis, Economic Journal, Journal of Risk, Journal of Empirical Finance, Quaterly Review of Economics and Finance, Quantitative Finance, Journal of Money, Credit and Banking, Journal of Financial Intermediation, Journal of Banking and Finance, Journal of European Financial Management, European Journal of Finance, Quaterly Review of Economics and Finance, Quantitative Finance, Journal of Macroeconomics, Economic Notes, Risk Analysis, Research in Economics (referee and Guest Editor), Rivista Internazionale di Scienze Economiche e Commerciali (RISEC), Global Finance Journal, European Journal of Finance, Journal of Multinational Financial Management, Journal of International Financial Markets, Institutions and Money.

Program Committee and co-Chair with Rene’ Stulz of BSI Gamma Foundation Conferences, 2011-

Program Committee and Local organizer C.R.E.D.I.T. Conferences, 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011, 2012

Program Committee Referee European Financial Association Conferences 1999, 2000, 2001, 2002, 2003, 2005, 2007, 2008, 2009, 2010, 2011, 2012.

Program Committee Referee European Financial Management Association Conferences 2005 (Doctoral symposium);

Program Committee Referee Financial Management Association 2010

Elsevier: Books in Finace


Memberships:

 

American Finance Association

European Finance Association

European Financial Management Association

Financial Management Association

 

 

 

© Ca'Foscari 2014