Margherita Giuzio

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

  • European Central Bank (ECB)

SCHOLARLY PAPERS

15

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27

CROSSREF CITATIONS

3

Scholarly Papers (15)

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1.

The Low-Carbon Transition, Climate Commitments and Firm Credit Risk

ECB Working Paper No. 2021/2631
Number of pages: 70 Posted: 22 Dec 2021
Sante Carbone, Margherita Giuzio, Sujit Kapadia, Sujit Kapadia, Johannes Sebastian Krämer, Ken Nyholm and Katia Vozian
European Central Bank (ECB), European Central Bank (ECB), Bank of EnglandEuropean Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and Hanken School of Economics
Downloads 872 (54,321)
Citation 16

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climate change, credit risk, disclosure, green finance, net zero, transition risk

2.

Tracking Hedge Funds Using Sparse Clones

Number of pages: 26 Posted: 10 Aug 2015 Last Revised: 12 Sep 2016
Margherita Giuzio, Kay Eichhorn-Schott, Sandra Paterlini and Vincent Weber
European Central Bank (ECB), EBS Universität für Wirtschaft und Recht, University of Trento - Department of Economics and Management and Resonanz Capital
Downloads 343 (170,582)
Citation 1

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Hedge Fund Replication, Sharpe Style Analysis, LASSO Regression, Alternative Betas

3.

Non-Bank Financial Intermediation in the Euro Area: Implications for Monetary Policy Transmission and Key Vulnerabilities

ECB Occasional Paper No. 2021/270
Number of pages: 86 Posted: 23 Sep 2021 Last Revised: 19 Jan 2022
Lorenzo Cappiello, Federic Holm-Hadulla, Angela Maddaloni, Laura Arts, Nicolas Meme, Petros Migiakis, Caterina Behrens, Alban Moura, Stefano Corradin, Annalisa Ferrando, Juha Niemelä, Margherita Giuzio, Olivier Pierrard, Lev Ratnovski, Lev Ratnovski, Adam Gulan, Alexandra Schober-Rhomberg, Andreas Hertkorn, Michael Sigmund, Christoph Kaufmann, Lucía Kazarian Avakian, Patricia Stupariu, Kimmo Koskinen, Marco Taboga, Franck Sédillot, Luis Tavares, Jani Matilainen, Emme Van den, Falk Mazelis, Andrea Zaghini and Barra McCarthy
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), De Nederlandsche Bank, Banque de France, Athens University of Economics and Business - Department of Accounting and Finance, European Central Bank (ECB), Banque Centrale du Luxembourg, European Central Bank (ECB), European Central Bank (ECB), Bank of Finland, European Central Bank (ECB), Banque Centrale du Luxembourg, International Monetary FundEuropean Central Bank, Financial Research Division, Bank of Finland - Research, Oesterreichische Nationalbank (OeNB), European Central Bank (ECB), Oesterreichische Nationalbank (OeNB), European Central Bank, European Central Bank (ECB), Banco de España, Bank of Finland, Bank of Italy, Banque de France, Banque de France, European Central Bank (ECB), De Nederlandsche Bank, European Central Bank (ECB), Bank of Italy and Central Bank of Ireland
Downloads 329 (178,405)
Citation 5

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Asset purchases, Financial markets stress, Low interest rates, Monetary policy transmission, Non-bank intermediation, Risk-taking

4.

Are Ethical and Green Investment Funds More Resilient?

ECB Working Paper No. 2022/2747
Number of pages: 41 Posted: 15 Nov 2022
Laura-Dona Capotă, Margherita Giuzio, Sujit Kapadia, Sujit Kapadia and Dilyara Salakhova
Autorité des Marchés Financiers, European Central Bank (ECB), Bank of EnglandEuropean Central Bank (ECB) and Banque de France
Downloads 313 (187,997)

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climate risk, green finance, investment funds, sustainable investments

5.

Macroprudential Stress Test of the Euro Area Banking System

ECB Occasional Paper No. 226 (2019); ISBN 978-92-899-3691-0
Number of pages: 62 Posted: 03 Jul 2019
Katarzyna Barbara Budnik, Mirco Balatti, Giovanni Covi, Ivan Dimitrov, Johannes Groß, Ib Hansen, Michael Kleemann, Tomas Reichenbachas, Francesco Sanna, Andrei Sarychev, Nadežda Siņenko, Matjaz Volk, Katharina Cera, Giovanni di Iasio, Margherita Giuzio, Harun Mirza, Diego Moccero, Giulio Nicoletti, Cosimo Pancaro and Spyros Palligkinis
European Central Bank (ECB), Henley Business School - ICMA Centre, Bank of England, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute, Bank of Lithuania, European Central Bank (ECB), European Central Bank (ECB), Bank of Latvia, Bank of Slovenia, European Central Bank (ECB), Bank of Italy, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 240 (246,381)

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macro stress test, macroprudential policy, banking sector deleveraging, real-financial feedback mechanism

6.

Insurers’ Investment Strategies: Pro- or Countercyclical?

Number of pages: 54 Posted: 30 Jul 2019
Linda Fache Rousová and Margherita Giuzio
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 137 (403,651)

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cyclicality, financial stability, insurance companies, portfolio allocation, sovereign debt crisis

7.

Un-Diversifying During Crises: Is It a Good Idea?

Number of pages: 36 Posted: 01 Aug 2016 Last Revised: 22 Nov 2016
Margherita Giuzio and Sandra Paterlini
European Central Bank (ECB) and University of Trento - Department of Economics and Management
Downloads 136 (405,975)
Citation 2

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Minimum Variance portfolio, Sparsity, Diversification, Regularization Methods

8.

The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios

Downloads 131 (418,129)
Citation 2

The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios

ECB Working Paper No. 2384
Number of pages: 41 Posted: 30 Mar 2020
Ben R. Craig, Margherita Giuzio and Sandra Paterlini
Federal Reserve Bank of Cleveland, European Central Bank (ECB) and University of Trento - Department of Economics and Management
Downloads 76 (612,302)

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bank regulation, diversification, home bias, sovereign-bank nexus, sovereign risk

The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios

FRB of Cleveland Working Paper No. 19-12
Number of pages: 50 Posted: 28 May 2019
Ben R. Craig, Margherita Giuzio and Sandra Paterlini
Federal Reserve Bank of Cleveland, European Central Bank (ECB) and University of Trento - Department of Economics and Management
Downloads 55 (724,936)
Citation 1

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bank regulation, sovereign-bank nexus, sovereign risk, home bias, diversification

9.

Undiversifying During Crises: Is It a Good Idea?

FRB of Cleveland Working Paper No. 16-28
Number of pages: 38 Posted: 05 Dec 2016
Margherita Giuzio and Sandra Paterlini
European Central Bank (ECB) and University of Trento - Department of Economics and Management
Downloads 130 (420,621)

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minimum variance portfolio, sparsity, diversification, regularization methods

10.

Investment Funds, Risk-Taking, and Monetary Policy in the Euro Area

ECB Working Paper No. 2021/2605
Number of pages: 49 Posted: 13 Oct 2021
Margherita Giuzio, Christoph Kaufmann, Ellen Ryan and Lorenzo Cappiello
European Central Bank (ECB), European Central Bank, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 118 (458,557)
Citation 2

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liquidity management, monetary policy, non-bank financial intermediation

11.

Financing the low-carbon transition in Europe

Number of pages: 58 Posted: 24 Jul 2023
Olimpia Carradori, Margherita Giuzio, Sujit Kapadia, Sujit Kapadia, Dilyara Salakhova and Katia Vozian
Swiss Finance Institute - University of Zurich, European Central Bank (ECB), Bank of EnglandEuropean Central Bank (ECB), Banque de France and Hanken School of Economics
Downloads 106 (489,839)

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low-carbon transition, climate change, debt finance, transition finance, EU ETS

12.

Sparse and Robust Normal and t-Portfolios by Penalized Lq-Likelihood Minimization

Number of pages: 31 Posted: 22 May 2014 Last Revised: 02 Jun 2017
Davide Ferrari, Margherita Giuzio and Sandra Paterlini
University of Melbourne, European Central Bank (ECB) and University of Trento - Department of Economics and Management
Downloads 51 (734,115)
Citation 1

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q-entropy, penalized least squares, sparsity, index tracking

13.

The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios

ESRB Working Paper No. 89 / March 2019
Number of pages: 48 Posted: 31 May 2017 Last Revised: 29 Jul 2019
Ben R. Craig, Margherita Giuzio and Sandra Paterlini
Federal Reserve Bank of Cleveland, European Central Bank (ECB) and University of Trento - Department of Economics and Management
Downloads 50 (740,350)
Citation 1

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Bank regulation; sovereign-bank nexus; sovereign risk; home bias; diversification

14.

The Effect of Possible EU Diversification Requirements on the Risk of Banks' Sovereign Bond Portfolios

ESRB: Working Paper Series No. 2019/89
Number of pages: 48 Posted: 05 Nov 2020
Ben R. Craig, Margherita Giuzio and Sandra Paterlini
Federal Reserve Bank of Cleveland, European Central Bank (ECB) and University of Trento - Department of Economics and Management
Downloads 37 (831,725)

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bank regulation, diversification, home bias, sovereign-bank nexus, sovereign risk

15.

The Components of Private Debt Performance

https://doi.org/10.3905/jai.2018.20.4.021
Posted: 06 May 2017 Last Revised: 22 May 2019
Margherita Giuzio, Andreas Gintschel and Sandra Paterlini
European Central Bank (ECB), Prime Capital AG and University of Trento - Department of Economics and Management
Downloads 0 (1,213,272)

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Private Debt, Liquidity Premium, Diversification, Portfolio Selection