Margherita Giuzio

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

9

DOWNLOADS

560

CITATIONS

1

Scholarly Papers (9)

1.

Tracking Hedge Funds Using Sparse Clones

Number of pages: 26 Posted: 10 Aug 2015 Last Revised: 12 Sep 2016
European Central Bank (ECB), EBS Universität für Wirtschaft und Recht, University of Trento - Department of Economics and Management and Resonanz Capital
Downloads 277 (109,227)

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

2.

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 103 (258,535)

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minimum variance portfolio, sparsity, diversification, regularization methods

3.

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 100 (263,762)

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Minimum Variance portfolio, Sparsity, Diversification, Regularization Methods

4.

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 35 (442,705)

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

5.

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 17 (536,885)

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

6.

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 13 (560,521)

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

7.

Insurers’ Investment Strategies: Pro- or Countercyclical?

ECB Working Paper No. 2299
Number of pages: 54 Posted: 30 Jul 2019
Linda Fache Rousová and Margherita Giuzio
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 9 (585,642)

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

8.

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
European Central Bank (ECB) - Directorate Financial Stability and Supervision, Henley Business School - ICMA Centre, European Central Bank (ECB), 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, Financial Stability, European Central Bank (ECB), Bank of Italy, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 6 (605,031)

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

9.

The Components of Private Debt Performance

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 (667,153)

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Private Debt, Liquidity Premium, Diversification, Portfolio Selection