Margherita Giuzio

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

13

DOWNLOADS

1,120

SSRN CITATIONS

7

CROSSREF CITATIONS

0

Scholarly Papers (13)

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 307 (137,637)

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

2.

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

ECB Working Paper No. 2021/2631
Number of pages: 70 Posted: 22 Dec 2021
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 190 (218,904)

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

3.

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), 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 118 (320,435)

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

4.

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 116 (324,261)

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minimum variance portfolio, sparsity, diversification, regularization methods

5.

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 108 (340,679)
Citation 2

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Minimum Variance portfolio, Sparsity, Diversification, Regularization Methods

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 60 (478,328)

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

7.

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
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), European Central Bank (ECB) and Central Bank of Ireland
Downloads 57 (489,933)

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

8.

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
European Central Bank (ECB), European Central Bank, Central Bank of Ireland and European Central Bank (ECB)
Downloads 46 (537,049)

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liquidity management, monetary policy, non-bank financial intermediation

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 29 (646,243)
Citation 1

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

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 14 (768,867)

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

10.

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 36 (587,668)
Citation 1

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

11.

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 27 (642,217)
Citation 1

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

12.

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 12 (760,042)

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

13.

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 (891,231)

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Private Debt, Liquidity Premium, Diversification, Portfolio Selection