PELIZZON Loriana

Qualifica Professoressa Ordinaria
Telefono 041 234 9157
E-mail pelizzon@unive.it
emif@unive.it - Economia dei mercati e degli investimenti finanziari
qem-venice@unive.it - Master Erasmus Mundus
financial.economics2@unive.it - PELIZZON Loriana
Fax 041 234 9176
Sito web www.unive.it/persone/pelizzon (scheda personale)
Struttura Dipartimento di Economia
Sito web struttura: http://www.unive.it/dip.economia
Sede: San Giobbe
Incarichi Delegata ai sistemi di valutazione e ai ranking nazionali ed internazionali

Dati relazione

Periodo di riferimento 01/11/2015 - 31/10/2018
Afferenza Dipartimento di Economia
Ruolo Professori ordinari

Attività didattica

A.A.InsegnamentoCodice Voto (max 4)Voto medio area (max 4)
2015/2016ECONOMIA DEI MERCATI ED INVESTIMENTI FINANZIARIEM50022.43.1
2015/2016ECONOMICS AND ECONOMETRICS OF INTERNATIONAL FINANCEEM10532.13.1
2015/2016MACROFINANCEPHD057
2015/2016POLITICA ECONOMICA IET00532.73.1
2016/2017ECONOMIA DEI MERCATI ED INVESTIMENTI FINANZIARIEM50022.33.1
2016/2017MACROFINANCEPHD057
2016/2017POLITICA ECONOMICA IET005333.1
2017/2018ECONOMIA DEI MERCATI ED INVESTIMENTI FINANZIARIEM5002
2017/2018FINANCEPHD083
2017/2018POLITICA ECONOMICA IET0053

Tesi

Anno solareTipologiaTesi RelatoreTesi Correlatore
2015Corso di laurea5
2015Corso di laurea magistrale710
2016Corso di laurea4
2016Corso di laurea magistrale83
2017Corso di laurea10
2017Corso di laurea magistrale87

Finanziamenti

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

Ricerche sviluppate e in corso

  • Bank cost of capital
  • Business Cycle Analysis
  • Crisis, monetary policy, bank capital
  • Hedge funds
  • Household portfolios

Pubblicazioni realizzate nel triennio

  • Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto (2018), Measuring sovereign contagion in Europe in JOURNAL OF FINANCIAL STABILITY, vol. 34, pp. 150-181 (ISSN 1572-3089) (Articolo su rivista)
  • Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; Uno, Jun (2018), Central Bank-Driven Mispricing (Working paper)
  • Gündüz, Yalin; Ottonello, Giorgio; Pelizzon, Loriana; Schneider, Michael; Subrahmanyam, Marti G. (2018), Lighting up the Dark: Liquidity in the German Corporate Bond Market (Working paper)
  • de Roure, Calebe; Pelizzon, Loriana; Thakor, Anjan V. (2018), P2P Lenders versus Banks: Cream Skimming or Bottom Fishing? (Working paper)
  • Girardi, Giulio; Hanley, Kathleen Weiss; Nikolova, Stanislava; Pelizzon, Loriana; Getmansky Sherman, Mila (2018), Portfolio Similarity and Asset Liquidation in the Insurance Industry (Working paper)
  • Pelizzon, Loriana; Subrahmanyam, Marti G.; Tobe, Reiko; Uno, Jun (2018), Scarcity and Spotlight Effects on Liquidity: Quantitative Easing in Japan (Working paper)
  • Getmansky Sherman, Mila; Jagannathan, Ravi; Pelizzon, Loriana; Schaumburg, Ernst; Yuferova, Darya (2018), Stock Price Crashes: Role of Slow-Moving Capital (Working paper)
  • Bellia, Mario; Panzica, Roberto; Pelizzon, Loriana; Peltonen, Tuomas A. (2018), The Demand for Central Clearing: To Clear or Not to Clear, That Is the Question (Working paper)
  • Pelizzon, Loriana; Sottocornola, Matteo (2018), The Impact of Monetary Policy Interventions on the Insurance Industry (Working paper)
  • Kubitza, Christian; Pelizzon, Loriana; Getmansky Sherman, Mila (2018), The Pitfalls of Central Clearing in the Presence of Systematic Risk (Working paper)
  • Schneider, M.; Lillo, F.; Pelizzon, L. (2017), Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market in QUANTITATIVE FINANCE, vol. 18, pp. 1-11 (ISSN 1469-7688) (Articolo su rivista)
  • Billio, Monica; Getmansky, M.; Pelizzon, Loriana (2017), Financial Crises and the Evaporation of Diversification Benefits of Hedge Funds , Hedge Funds: Structure, Strategies, and Performance, New York, Oxford University Press, vol. Chap 24 (ISBN 9780190607371) (Articolo su libro)
  • Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; Uno, Jun; Yuferova, Darya (2017), Coming Early to the Party (Working paper)
  • Aste T., Pelizzon L, Perony N., Tasca P. (2016), Banking Beyond Banks and Money. A Guide to Banking Services in the Twenty-First Century , SWitzerland, SPRINGER (ISBN 978-3-319-42446-0) (Monografia o trattato scientifico)
  • Billio, Monica; Pelizzon, Loriana; Savona, Roberto (2016), Systemic Risk Tomography , Elsevier - ISTE (ISBN 9781785480850) (Monografia o trattato scientifico)
  • Billio, Monica; Frattarolo, Lorenzo; Pelizzon, Loriana (2016), Hedge Fund Tail Risk: An investigation in stressed markets in THE JOURNAL OF ALTERNATIVE INVESTMENTS, vol. 18, pp. 109-124 (ISSN 1520-3255) (Articolo su rivista)
  • Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; Uno, Jun (2016), Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina? in JOURNAL OF FINANCIAL ECONOMICS, vol. 122, pp. 86-115 (ISSN 0304-405X) (Articolo su rivista)
  • Loriana Pelizzon, Max Riedel, Paolo Tasca (2016), Classification of Crowdfunding in the Financial System in Pelizzon L, M. Riedel, P, Tasca, Banking Beyond Banks and Money. A Guide to Banking Services in the Twenty-First Century, Switzerland, SPRINGER, pp. 5-16 (ISBN 978-3-319-42446-0) (Articolo su libro)
  • Billio, Monica; Costola, Michele; Panzica, Roberto Calogero; Pelizzon, Loriana (2016), Systemic risk and financial interconnectedness: network measures and the impact of the indirect effect. in Billio M. ,Pelizzon L., Savona R., SYSTEMIC RISK TOMOGRAPHY SIGNALS, MEASUREMENTS AND TRANSMISSION CHANNELS, ISTE - Elsevier (ISBN 9781785480850) (Articolo su libro)
  • Schneider, Michael; Lillo, Fabrizio; Pelizzon, Loriana (2016), How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis (Working paper)
  • Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; Uno, Jun; Yuferova, Darya (2016), Low-Latency Trading and Price Discovery without Trading: Evidence from the Tokyo Stock Exchange in the Pre-Opening Period and the Opening Batch Auction (Working paper)
  • Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; Uno, Jun (2016), Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods (Working paper)
  • Billio, Monica; Pelizzon, Loriana; Frattarolo, Lorenzo; Massimiliano, Caporin (2016), Networks in risk spillovers: a multivariate GARCH perspective in WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE (ISSN 1827-3580) (Working paper)
  • Billio, Monica; Caporin, Massimiliano; Panzica, Roberto; Pelizzon, Loriana (2016), The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification (Working paper)

Partecipazione come referee di progetti di ricerca nazionali ed internazionali

2018- European Commission, Marie Curie invited Evaluation Expert

2018- Member of the ESRB Advisory Scientific Committee

2017- Member of the review panel of the SYstemic Model of Banking Originated Losses (SYMBOL) used by the European Commission for ex-ante impact assessment of changes in banking regulation.

2016- Member of the Italian Commission for Professorship Habilitation

2015- Member of the EU independent expert advice team in the field of banking union, i.e. banking resolution and supervision

2015- External expert for the EU commission on digital currency and blockchain technology

2014- Referee Netherlands Organisation for Scientific Research (NOW) – Netherland

2012- Referee Swiss National Science Foundation

2010- Referee (Revisore) PRIN – Ministero dell'Istruzione, dell'Università e della Ricerca

2011- Referee (Revisore) VQR - Valutazione della Qualità della Ricerca

2014- Referee ANEP – AGENCIA NACIONAL DE EVALUACION Y PROSPECTIVA- Spain

2015 Assessment Committee member: Professorship in Finance and Accounting, Copenhagen Business School

Svizzera - Swiss Finance Institute

Scuola Normale di Pisa - progetti di ateneo

Partecipazione a comitati editoriali di riviste/collane scientifiche

2015- Associate Editor Journal of Credit Risk

2015- Associate Editor European Financial Management Journal

Descrizione dell'attività di ricerca svolta nel triennio e gli obiettivi futuri

H2020 Project on: EeDAPP - Energy efficient Data Protocol and Portal, coordinator European Mortgage Federation-European Covered Bond Council.
Trans-Atlantic Platform (T-AP) for the Social Sciences and Humanities: Digging Into Financial High Frequency data, with Haas School of Business, University of California, Hanken School of Economics, Institut Louis Bachelier and London School of Economics.
H2020 Project on: EeMAP - Energy efficient Mortgages Action Plan, coordinator European Mortgage Federation-European Covered Bond Council.
Deutscher Verein für Versicherungswissenschaft (DVfVW): The Impact of Quantitative Easing on Stock and CDS Prices of European Insurance Companies with Matteo Sottocornola and Petr Jakubik 2017
Marie Curie EU Project (H2020) European early warning system for systemic risk – EARLINESS.eu with Michele Costola, 2016-2018
SAFE Project Systemic Risk and Network Connectivity, with Massimiliano Caporin, Tatiana von Landesberger, Sviataslau Sivagrakau, Aleksey Kolokolov, Cristopf Meinerding, Monica Billio, Chrsitian Schlag, Mathias Thiemann, Roberto Panzica, 2016-2018
SAFE Project Impact of QE and the Zero Lower Bound on Asset Prices, with Massimiliano Caporin, Alberto Plazzi, Roberto Rigobon, Jun Uno, Clara Vega, Loriana Pelizzon, Marti Subrahmanyam, 2016-2018
SAFE Project Impacts of the Quantitative Easing on the European Insurance Industry with Nicola Mano, Kerstin Bernoth, Matteo Sottocornola, Petr Jakubik, and Billio Monica, 03.2016-12.2016
VolkswagenStifftung Europe and Global Challenges: Quantitative Easing and Financial (In)Stability, with Marti Subrahmanyam, Viral Acharya, Jun Uno, Co-Pierre Georg, Marcel Bluhm, 2016-2019
Inquire Europe grant: The impact of unconventional monetary policies on European financial markets”, with Massimiliano Caporin, Alberto Plazzi and Roberto Rigobon, 2015-2016
EUROFIDAI Academic Research Projects Using High Frequency Financial Data. Project on Strategic behavior of High Frequency Traders during the market pre-opening period, with Marti Subrahmanyam, NYU Stern, Jun Uno Waseda University 2014-2018
SAFE Project Sovereign, bank and insurance credit spread: connectedness and system networks, with Monica Billio: Mila Getmansky, Dale Gray, Andrew Lo, Robert Merton, 2013-2015
SAFE Project Limits to Arbitrage in Sovereign Bonds: Price and Liquidity Discovery in High Frequency Quote Driven Markets with Marti Subrahmanyam, Jun Uno and Davide Tomio, 2013-2015
SAFE Project Interconnectedness of insurance companies con Mila Getmansky (UMASS Amherst, U.S.), Giulio Girardi (U.S. SEC), Nikolova Stanislava (University of Nebraska-Lincoln, U.S.), Kathleen Weiss Hanley (University of Maryland College Park, U.S.), 2013-2015
FONDATION BANQUE OF FRANCE grant: Excitation in Sovereign CDSs with Yacine Ait-Sahalia and Roger Laeven 2012-2014

2015-2016 Einaudi Institute of Economics and Finance grant: Limit to Arbitrage, with Marti Subrahmanyam, Jun Uno and Davide Tomio, 2013-2014
2013-2014 Einaudi Institute of Economics and Finance grant: The Microstructure of the Euro-zone Crisis: A Study of the European Sovereign Bond Market with Marti Subrahmanyam, Jun Uno and Davide Tomio, 2013-2014
2012-2014: PRIN: “Modelli Statistici multivariati per la valutazione dei rischi ” coordinated by P. Giudici and M. Billio.


Nei prossimi tre anni la mia attivita' di ricerca si focalizzera' sul completamento dei working papers:

Getmansky, M., Kubitza, C., and Pelizzon, L. (2018). Pitfalls of central clearing in the presence of systematic risk. SAFE Working Paper

de Roure C., L. Pelizzon and A. Thakor (2018) P2P Lenders versus Banks: Cream Skimming or Bottom Fishing? SAFE Working Paper 206

Pelizzon L. and M. Sottocornola (2018) The Impact of Monetary Policy Interventions on the Insurance Industry, SAFE Working Paper 204

Bellia M, R. Panzica, L. Pelizzon and T. Peltonen (2018) The Demand for Central Clearing: To Clear or Not to Clear, That is the Question!, ESRB WP 62/2017

Pelizzon L., M. Subrahmanyam and J. Uno (2017) Quantitative Easing, Scarcity, and Spotlight Effects on Liquidity and Yield in the Government Bond Market, SSRN WP

Bellia M. L. Pelizzon, M G. Subrahmanyam, J. Uno and D. Yuferova (2017) Coming Early to the Party, SSRN WP

Pelizzon L. M. Subrahmanyam, D. Tomio and J. Uno (2017) Central Bank–Driven Mispricing, mimeo

Billio, M., M. Caporin, R. Panzica, and L. Pelizzon (2017). "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series 166

Caporin M., L. Pelizzon, A. Plazzi (2017) Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets, SSRN WP

Billio M., M. Caporin, L. Frattarolo and L. Pelizzon, (2016). "Networks in risk spillovers: a multivariate GARCH perspective," Working Papers 2016:03, Department of Economics, University of Venice "Ca' Foscari".

Getmansky M., G. Girardi, L. Pelizzon N. Stanislava, K. Weiss (2016) Portfolio Similarity and Asset Liquidation in the Insurance Industry, SSRN WP

Bellia M. L. Pelizzon, M G. Subrahmanyam, J. Uno and D. Yuferova (2016) Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods, SAFE WP 144

Getmansky, M, R. Jagannathan, L. Pelizzon, E. Schaumburg and D. Youferova (2018), Stock Market Liquidity: Role of short term and Long Term Traders, mimeo

de Roure C., L. Pelizzon and P. Tasca (2016) How Does P2P Lending Fit Into the Consumer Credit Market? Deutsche Bundesbank Discussion Paper 30/2016

Billio M., M. Caporin, L. Frattarolo and L. Pelizzon (2016) Networks in risk spillovers: a multivariate GARCH Perspective, Ca’ Foscari of Venice - DE WP 03/2016

Billio M., G. Jannin, B. Maillet and L. Pelizzon (2015), A New Generalized Utility-based N-moments Measure of Performance, Dept. of Economics Research Paper n. 22

vonThadden E., B. Parigi and L. Pelizzon (2017) A Corporate Governance Asset Pricing Model: Theory and Evidence, SSRN WP

Pelizzon L. M. Subrahmanyam, D. Tomio and J. Uno (2014) Limits to Arbitrage in Sovereign Bonds Price and Liquidity Discovery in High-Frequency Quote-Driven Markets, SSRN WP.

Menzioni e premi ricevuti

2017 Best Equity paper at the 2017 Spanish Finance Association (XXV Finance Forum)
2015 EUROPLACE Grant: Grant awarded by the Europlace for a research project joint with Monica Billio and Dominique Guegan
2015 Inquire Europe grant: “The impact of unconventional monetary policies on European financial markets”, with Massimiliano Caporin, Alberto Plazzi and Roberto Rigobon

Relazioni invitate presso convegni o workshops

CONFERENZE:

Tenth Baffi Carefin International Conference, Milan, October 2018, SUERF Conference, Madrid, October 2018,Fintech and Risk Management: Evolution or Revolution, Dublin, September 2018, 6th Workshop on Macro Banking and Finance, Alghero, September 2018, Conference on “New Frontiers in Banking: from Corporate Governance to Risk Management” BAFFI CAREFIN, Bocconi University, Sapienza University, and Review of Financial Studies, Rome, March 2018, ECB Money markets, monetary policy implementation and central bank balance sheets, Frankfurt, November 2017, ECB Capital Market Workshop, Frankfurt, October 2017, European Finance Association, Mannheim, August 2017, American Finance Association, Chicago, 2017, International Conferences on Sovereign Bond Markets, Singapore April 2017, ECB-IMF workshop, Frankfurt, October 2016, CREDIT 2016, Venice, October 2016, First ESRB Annual Conference, Frankfurt, September 2016, NBER Summer Institute, Boston, July 2016, 8th ECB Statistics Conference, Frankfurt July 2016, BIS Research Network meeting, Basel, March 2016, EIOPA SII event: Ready, Steady, Go, Frankfurt, March 2016, SYRTO Conference, Paris, February 2016

Seminari su invito tenuti presso altre Università, Centri di Ricerca, Aziende, etc.

Stanford University, December 2018, NYU Stern, November 2018, University of Hobart, November 2017, OUT Brisbane, November 2017, ESMA Paris, October 2017, Einaudi Institute of Economics and Finance, Rome, July 2017, Imperial College, October 2016, Bundesbank seminar, March 2016, Frankfurt School of Management, Frankfurt.

Altre attività scientifiche

Program co-Chairman with M. Subrahmanyam and J. Uno: International Conferences on Sovereign Bond Markets supported by Bank of Japan, ECB e NY Fed:

• Tokyo, June 2014
• Frankfurt, March 2015
• New York, February 2016
• Singapore, April 2017
• Ottawa, April 2018
• Frankfurt, April 2019


2015-2016: Chairman International workshop: P2P financial systems, Frankfurt, January 2015, London 2016

2011-2013
Program Committee and co-Chair with Rene’ Stulz of BSI Gamma Foundation Conferences,

Member Program Committee:
• WFA from 2013 -
• FMA from 2010 –
• EFMA from 2008 -
• EFA from 1999 -
• SGF from 2018 -
• FIRS from 2015 -
• CREDIT conference from 2010
• Conference on “Liquidity and Arbitrage Trading”, Geneva Finance Research Institute, 2012-
• Workshop in Quantitative Finance 2000-
• Journal of Applied Econometrics Conference 2005,
• EFA Doctoral Tutorial, from 2005 till 2014
• EFMA 2005 (Doctoral symposium);
• Workshop on Quantitative Finance, 2006, 2010, 2011, 2012
• European Financial Management Association Conferences 2005 (Doctoral symposium)

Local organiser, CREDIT conferences Venice from 2002 (http://www.greta.it/credit)

Papers refereed for the following journals: Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Political Economy, Journal of Econometrics, Journal of Financial Econometrics, Review of Finance, Journal of Financial Markets, Journal of Business and Statistics, Journal of Financial and Quantitative Analysis, Journal of Financial Stability, Economic Journal, Journal of Risk, Journal of Empirical Finance, Journal of Economics Studies, Journal of Financial Services Research, Quarterly 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, Journal of Macroeconomics

Incarichi accademici e attività organizzative

2013- Program Director Systemic Risk Lab and Chair of Law and Finance, Research Centre SAFE, Goethe University Frankfurt

Partecipazione alle attività di valutazione della ricerca

ANVUR - valutazione pubblicazioni

MIUR - valutazione progetti

2016- Member of the Italian Commission for Professorship Habilitation

Componente di Collegi didattici, Comitati e Commissioni di Dipartimento, Commissioni di Ateneo

Presidente del collegio didattico del corso di Laurea Magistrale in Economia e Finanza

Delegato del rettore per il ranking

Attività e incarichi esterni

2012-: Research Affiliate MIT Sloan, Cambridge, US
2011-2016 Consortium of Systemic Risk Analytics, MIT Sloan, Moody’s and State Street Global Markets
2015 (April-May): Visiting Scholar NYU Stern