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Margherita Giuzio

Personal Details

First Name:Margherita
Middle Name:
Last Name:Giuzio
Suffix:
RePEc Short-ID:pgi428
[This author has chosen not to make the email address public]
https://www.ecb.europa.eu/pub/research/authors/profiles/margherita-giuzio.en.html

Affiliation

(50%) Department Finanzwirtschaft, Rechnungswesen und Immobilien
Business School
EBS Universität für Wirtschaft und Recht

Wiesbaden, Germany
http://www.ebs.edu/finacc.html
RePEc:edi:dfebsde (more details at EDIRC)

(50%) European Central Bank

Frankfurt am Main, Germany
http://www.ecb.europa.eu/
RePEc:edi:emieude (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Capotă, Laura-Dona & Giuzio, Margherita & Kapadia, Sujit & Salakhova, Dilyara, 2022. "Are ethical and green investment funds more resilient?," Working Paper Series 2747, European Central Bank.
  2. Carbone, Sante & Giuzio, Margherita & Kapadia, Sujit & Krämer, Johannes Sebastian & Nyholm, Ken & Vozian, Katia, 2021. "The low-carbon transition, climate commitments and firm credit risk," Working Paper Series 2631, European Central Bank.
  3. Giuzio, Margherita & Kaufmann, Christoph & Ryan, Ellen & Cappiello, Lorenzo, 2021. "Investment funds, risk-taking, and monetary policy in the euro area," Working Paper Series 2605, European Central Bank.
  4. Cappiello, Lorenzo & Holm-Hadulla, Fédéric & Maddaloni, Angela & Mayordomo, Sergio & Unger, Robert & Arts, Laura & Meme, Nicolas & Asimakopoulos, Ioannis & Migiakis, Petros & Behrens, Caterina & Moura, 2021. "Non-bank financial intermediation in the euro area: implications for monetary policy transmission and key vulnerabilities," Occasional Paper Series 270, European Central Bank.
  5. Craig, Ben & Giuzio, Margherita & Paterlini, Sandra, 2020. "The effect of possible EU diversification requirements on the risk of banks’ sovereign bond portfolios," Working Paper Series 2384, European Central Bank.
  6. Giuzio, Margherita & Rousová, Linda, 2019. "Insurers’ investment strategies: pro- or countercyclical?," Working Paper Series 2299, European Central Bank.
  7. Budnik, Katarzyna & Balatti, Mirco & Dimitrov, Ivan & Groß, Johannes & Hansen, Ib & Kleemann, Michael & Sanna, Francesco & Sarychev, Andrei & Siņenko, Nadežda & Volk, Matjaz & Covi, Giovanni & di Iasi, 2019. "Macroprudential stress test of the euro area banking system," Occasional Paper Series 226, European Central Bank.
  8. Margherita Giuzio & Sandra Paterlini, 2016. "Undiversifying during Crises: Is It a Good Idea?," Working Papers (Old Series) 1628, Federal Reserve Bank of Cleveland.

Articles

  1. Giuzio, Margherita & Grill, Michael & Kryczka, Dominika & Weistroffer, Christian, 2021. "A theoretical model analysing investment funds’ liquidity management and policy measures," Macroprudential Bulletin, European Central Bank, vol. 12.
  2. Alogoskoufis, Spyros & Carbone, Sante & Coussens, Wouter & Fahr, Stephan & Giuzio, Margherita & Kuik, Friderike & Parisi, Laura & Salakhova, Dilyara & Spaggiari, Martina, 2021. "Climate-related risks to financial stability," Financial Stability Review, European Central Bank, vol. 1.
  3. Giuzio, Margherita & Krušec, Dejan & Levels, Anouk & Melo, Ana Sofia & Mikkonen, Katri & Radulova, Petya, 2019. "Climate change and financial stability," Financial Stability Review, European Central Bank, vol. 1.
  4. Margherita Giuzio & Sandra Paterlini, 2019. "Un-diversifying during crises: Is it a good idea?," Computational Management Science, Springer, vol. 16(3), pages 401-432, July.
  5. Margherita Giuzio & Kay Eichhorn-Schott & Sandra Paterlini & Vincent Weber, 2018. "Tracking hedge funds returns using sparse clones," Annals of Operations Research, Springer, vol. 266(1), pages 349-371, July.
  6. Margherita Giuzio, 2017. "Genetic algorithm versus classical methods in sparse index tracking," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 243-256, November.
  7. Giuzio, Margherita & Ferrari, Davide & Paterlini, Sandra, 2016. "Sparse and robust normal and t- portfolios by penalized Lq-likelihood minimization," European Journal of Operational Research, Elsevier, vol. 250(1), pages 251-261.

Chapters

  1. Laura Capota & Margherita Giuzio & Sujit Kapadia & Dilyara Salakhova, 2022. "Are ethical and green investment funds more resilient?," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Statistics for Sustainable Finance, volume 56, Bank for International Settlements.
  2. Sante Carbone & Margherita Giuzio & Sujit Kapadia & Johannes Sebastian Krämer & Ken Nyholm & Katia Vozian, 2022. "The low-carbon transition, climate disclosure and firm credit risk," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Statistics for Sustainable Finance, volume 56, Bank for International Settlements.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Capotă, Laura-Dona & Giuzio, Margherita & Kapadia, Sujit & Salakhova, Dilyara, 2022. "Are ethical and green investment funds more resilient?," Working Paper Series 2747, European Central Bank.

    Cited by:

    1. Richard Schmidt & Dr. Pinar Yesin, 2022. "The growing importance of investment funds in capital flows," Working Papers 2022-13, Swiss National Bank.
    2. Gourdel, Régis & Sydow, Matthias, 2023. "Non-banks contagion and the uneven mitigation of climate risk," International Review of Financial Analysis, Elsevier, vol. 89(C).
    3. Gourdel, Régis & Sydow, Matthias, 2022. "Non-banks contagion and the uneven mitigation of climate risk," Working Paper Series 2757, European Central Bank.

  2. Carbone, Sante & Giuzio, Margherita & Kapadia, Sujit & Krämer, Johannes Sebastian & Nyholm, Ken & Vozian, Katia, 2021. "The low-carbon transition, climate commitments and firm credit risk," Working Paper Series 2631, European Central Bank.

    Cited by:

    1. Paolo Angelini, 2024. "Portfolio decarbonisation strategies: questions and suggestions," Questioni di Economia e Finanza (Occasional Papers) 840, Bank of Italy, Economic Research and International Relations Area.
    2. Gouriéroux, C. & Monfort, A. & Renne, J.-P., 2022. "Required Capital for Long-Run Risks," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
    3. Alexander Blasberg & Rüdiger Kiesel & Luca Taschini, 2022. "Carbon Default Swap - Disentangling the Exposure to Carbon Risk through CDS," CESifo Working Paper Series 10016, CESifo.
    4. Andrea Ugolini & Juan C. Reboredo & Javier Ojea Ferreiro, 2023. "Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps," Staff Working Papers 23-38, Bank of Canada.
    5. Blasberg, Alexander & Kiesel, Rüdiger & Taschini, Luca, 2023. "Carbon default swap – disentangling the exposure to carbon risk through CDS," LSE Research Online Documents on Economics 118096, London School of Economics and Political Science, LSE Library.
    6. Grundmann, Justus & Silberbach, Anna & Auria, Laura, 2023. "Including carbon taxation risk in Deutsche Bundesbank's in-house credit assessment system (ICAS): An empirical analysis," Technical Papers 02/2023, Deutsche Bundesbank.
    7. Adler, Martin & Camba-Méndez, Gonzalo & Džaja, Tomislav & Manzanares, Andrés & Metra, Matteo & Vocalelli, Giorgio, 2023. "The valuation haircuts applied to eligible marketable assets for ECB credit operations," Occasional Paper Series 312, European Central Bank.
    8. Carlo Altavilla & Marco Pagano & Miguel Boucinha & Andrea Polo, 2023. "Climate Risk, Bank Lending and Monetary Policy," CSEF Working Papers 687, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    9. Blasberg, Alexander & Kiesel, Rüdiger & Taschini, Luca, 2023. "Carbon default swap – disentangling the exposure to carbon risk through CDS," LSE Research Online Documents on Economics 118092, London School of Economics and Political Science, LSE Library.
    10. Moreno, Angel-Ivan & Caminero, Teresa, 2022. "Application of text mining to the analysis of climate-related disclosures," International Review of Financial Analysis, Elsevier, vol. 83(C).

  3. Giuzio, Margherita & Kaufmann, Christoph & Ryan, Ellen & Cappiello, Lorenzo, 2021. "Investment funds, risk-taking, and monetary policy in the euro area," Working Paper Series 2605, European Central Bank.

    Cited by:

    1. Cappiello, Lorenzo & Holm-Hadulla, Fédéric & Maddaloni, Angela & Mayordomo, Sergio & Unger, Robert & Arts, Laura & Meme, Nicolas & Asimakopoulos, Ioannis & Migiakis, Petros & Behrens, Caterina & Moura, 2021. "Non-bank financial intermediation in the euro area: implications for monetary policy transmission and key vulnerabilities," Occasional Paper Series 270, European Central Bank.
    2. Holm-Hadulla, Fédéric & Mazelis, Falk & Rast, Sebastian, 2023. "Bank and non-bank balance sheet responses to monetary policy shocks," Economics Letters, Elsevier, vol. 222(C).
    3. Nicola Branzoli & Raffaele Gallo & Antonio Ilari & Dario Portioli, 2023. "Financial fragilities and risk-taking of corporate bond funds in the aftermath of central bank policy interventions," Temi di discussione (Economic working papers) 1404, Bank of Italy, Economic Research and International Relations Area.

  4. Cappiello, Lorenzo & Holm-Hadulla, Fédéric & Maddaloni, Angela & Mayordomo, Sergio & Unger, Robert & Arts, Laura & Meme, Nicolas & Asimakopoulos, Ioannis & Migiakis, Petros & Behrens, Caterina & Moura, 2021. "Non-bank financial intermediation in the euro area: implications for monetary policy transmission and key vulnerabilities," Occasional Paper Series 270, European Central Bank.

    Cited by:

    1. Darmouni, Olivier & Papoutsi, Melina, 2022. "Europe's growing league of small corporate bond issuers: new players, different game dynamics," Research Bulletin, European Central Bank, vol. 96.
    2. Joost Bats & Giovanna Bua & Daniel Kapp, 2023. "Physical and transition risk premiums in euro area corporate bond markets," Working Papers 761, DNB.
    3. Pana Alves & Sergio Mayordomo & Manuel Ruiz-García, 2022. "Corporate financing in fixed-income markets: the contribution of monetary policy to lowering the size barrier," Occasional Papers 2209, Banco de España.
    4. Holm-Hadulla, Fédéric & Mazelis, Falk & Rast, Sebastian, 2023. "Bank and non-bank balance sheet responses to monetary policy shocks," Economics Letters, Elsevier, vol. 222(C).
    5. Gabriele Beccari & Francesco Marchionne & Beniamino Pisicoli, 2022. "Alternative financing and investment in intangibles: evidence from Italian firms," Mo.Fi.R. Working Papers 174, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    6. Feinstein, Zachary & Hałaj, Grzegorz, 2023. "Interbank asset-liability networks with fire sale management," Working Paper Series 2806, European Central Bank.

  5. Craig, Ben & Giuzio, Margherita & Paterlini, Sandra, 2020. "The effect of possible EU diversification requirements on the risk of banks’ sovereign bond portfolios," Working Paper Series 2384, European Central Bank.

    Cited by:

    1. Ambrocio, Gene & Gu, Xian & Hasan, Iftekhar & Politsidis, Panagiotis, 2020. "The Diplomacy Discount in Global Syndicated Loans," MPRA Paper 103608, University Library of Munich, Germany.
    2. Craig, Ben & Giuzio, Margherita & Paterlini, Sandra, 2020. "The effect of possible EU diversification requirements on the risk of banks’ sovereign bond portfolios," Working Paper Series 2384, European Central Bank.
    3. Sam Langfield, 2020. "Bridge over Troubled Monetary Union: A Reply to De Grauwe & Ji," Journal of Common Market Studies, Wiley Blackwell, vol. 58(S1), pages 1-10, September.

  6. Giuzio, Margherita & Rousová, Linda, 2019. "Insurers’ investment strategies: pro- or countercyclical?," Working Paper Series 2299, European Central Bank.

    Cited by:

    1. Baranova, Yuliya & Douglas, Graeme & Silvestri, Laura, 2019. "Simulating stress in the UK corporate bond market: investor behaviour and asset fire-sales," Bank of England working papers 803, Bank of England.
    2. di Iasio, Giovanni & Alogoskoufis, Spyridon & Kördel, Simon & Kryczka, Dominika & Nicoletti, Giulio & Vause, Nicholas, 2022. "A model of system-wide stress simulation: market-based finance and the Covid-19 event," Working Paper Series 2671, European Central Bank.
    3. Hombert, Johan & Möhlmann, Axel & Weiß, Matthias, 2021. "Inter-cohort risk sharing with long-term guarantees: Evidence from German participating contracts," Discussion Papers 10/2021, Deutsche Bundesbank.
    4. Cappiello, Lorenzo & Holm-Hadulla, Fédéric & Maddaloni, Angela & Mayordomo, Sergio & Unger, Robert & Arts, Laura & Meme, Nicolas & Asimakopoulos, Ioannis & Migiakis, Petros & Behrens, Caterina & Moura, 2021. "Non-bank financial intermediation in the euro area: implications for monetary policy transmission and key vulnerabilities," Occasional Paper Series 270, European Central Bank.
    5. Amariei, Cosmina, 2020. "Asset Allocation in Europe: Reality vs. Expectations," ECMI Papers 27304, Centre for European Policy Studies.
    6. Elisa Luciano & Jean-Charles Rochet, 2022. "The Fluctuations of Insurers’ Risk Appetite," Post-Print hal-04052327, HAL.
    7. Konradt, Maximilian, 2023. "Do pension funds reach for yield? Evidence from a new database," MPRA Paper 116209, University Library of Munich, Germany.
    8. Federico Apicella & Raffaele Gallo & Giovanni Guazzarotti, 2022. "Insurers' investments before and after the Covid-19 outbreak," Temi di discussione (Economic working papers) 1363, Bank of Italy, Economic Research and International Relations Area.
    9. Valerio Della Corte & Stefano Federico, 2019. "Two tales of foreign investor outflows: Italy in 2011-2012 and 2018," Questioni di Economia e Finanza (Occasional Papers) 535, Bank of Italy, Economic Research and International Relations Area.
    10. di Iasio, Giovanni & Kryczka, Dominika, 2021. "Market failures in market-based finance," Working Paper Series 2545, European Central Bank.
    11. Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul & Ghouli-Oueslati, Jihene, 2023. "Relocating investments by Tunisian insurance and pension funds towards alternative assets opportunities," Journal of Policy Modeling, Elsevier, vol. 45(3), pages 609-629.
    12. Martijn Boermans, 2022. "A literature review of securities holdings statistics research and a practitioner’s guide," Working Papers 757, DNB.

  7. Budnik, Katarzyna & Balatti, Mirco & Dimitrov, Ivan & Groß, Johannes & Hansen, Ib & Kleemann, Michael & Sanna, Francesco & Sarychev, Andrei & Siņenko, Nadežda & Volk, Matjaz & Covi, Giovanni & di Iasi, 2019. "Macroprudential stress test of the euro area banking system," Occasional Paper Series 226, European Central Bank.

    Cited by:

    1. Gergõ Horváth, 2021. "Corporate Credit Risk Modelling in the Supervisory Stress Test of the Magyar Nemzeti Bank," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 20(1), pages 43-73.
    2. Georgescu, Oana-Maria & Martín, Diego Vila, 2021. "Do macroprudential measures increase inequality? Evidence from the euro area household survey," Working Paper Series 2567, European Central Bank.
    3. Borsuk, Marcin & Budnik, Katarzyna & Volk, Matjaz, 2020. "Buffer use and lending impact," Macroprudential Bulletin, European Central Bank, vol. 11.
    4. Bank for International Settlements, 2020. "Stress testing in Latin America: A comparison of approaches and methodologies," BIS Papers, Bank for International Settlements, number 108.
    5. Mirza, Harun & Moccero, Diego & Palligkinis, Spyros & Pancaro, Cosimo, 2020. "Fire sales by euro area banks and funds: What is their asset price impact?," Economic Modelling, Elsevier, vol. 93(C), pages 430-444.
    6. Budnik, Katarzyna & Dimitrov, Ivan & Giglio, Carla & Groß, Johannes & Lampe, Max & Sarychev, Andrei & Tarbé, Matthieu & Vagliano, Gianluca & Volk, Matjaz, 2021. "The growth-at-risk perspective on the system-wide impact of Basel III finalisation in the euro area," Occasional Paper Series 258, European Central Bank.
    7. Aikman, David & Beale, Daniel & Brinley-Codd, Adam & Covi, Giovanni & Hüser, Anne‑Caroline & Lepore, Caterina, 2023. "Macroprudential stress‑test models: a survey," Bank of England working papers 1037, Bank of England.
    8. Budnik, Katarzyna & Dimitrov, Ivan & Groß, Johannes & Jančoková, Martina & Lampe, Max & Sorvillo, Bianca & Stular, Anze & Volk, Matjaz, 2021. "Policies in support of lending following the coronavirus (COVID 19) pandemic," Occasional Paper Series 257, European Central Bank.
    9. Wiersema, Garbrand & Kleinnijenhuis, Alissa M. & Wetzer, Thom & Farmer, J. Doyne, 2023. "Scenario-free analysis of financial stability with interacting contagion channels," Journal of Banking & Finance, Elsevier, vol. 146(C).
    10. Marcin Borsuk & Konrad Kostrzewa, 2020. "Miary ryzyka systemowego dla Polski. Jak ryzyko systemowe wpływa na akcję kredytową banków?," Bank i Kredyt, Narodowy Bank Polski, vol. 51(3), pages 211-238.
    11. Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "A risk management perspective on macroprudential policy," Working Paper Series 2556, European Central Bank.
    12. Guillaume Arnould & Giuseppe Avignone & Cosimo Pancaro & Dawid Żochowski, 2022. "Bank funding costs and solvency," The European Journal of Finance, Taylor & Francis Journals, vol. 28(10), pages 931-963, July.
    13. Nuno Cassola & Christoffer Kok & Francesco Paolo Mongelli, 2019. "The ECB after the crisis: existing synergies among monetary policy, macroprudential policies and banking supervision," Working Papers 424, University of Milano-Bicocca, Department of Economics, revised Dec 2019.
    14. Karel Janda & Oleg Kravtsov, 2022. "Regulatory Stress Tests and Bank Responses: Heterogeneous Treatment Effect in Dynamic Settings," International Journal of Central Banking, International Journal of Central Banking, vol. 18(2), pages 1-49, June.
    15. Catalán, Mario & Hoffmaister, Alexander W., 2022. "When banks punch back: Macrofinancial feedback loops in stress tests," Journal of International Money and Finance, Elsevier, vol. 124(C).
    16. Budnik, Katarzyna & Dimitrov, Ivan & Groß, Johannes & Kusmierczyk, Piotr & Lampe, Max & Vagliano, Gianluca & Volk, Matjaz, 2022. "The economic impact of the NPLcoverage expectations in the euro area," Occasional Paper Series 297, European Central Bank.
    17. Budnik, Katarzyna & Balatti, Mirco & Dimitrov, Ivan & Groß, Johannes & Kleemann, Michael & Reichenbachas, Tomas & Sanna, Francesco & Sarychev, Andrei & Siņenko, Nadežda & Volk, Matjaz, 2020. "Banking euro area stress test model," Working Paper Series 2469, European Central Bank.
    18. Boucherie, Louis & Budnik, Katarzyna & Panos, Jiri, 2022. "Looking at the evolution of macroprudential policy stance: A growth-at-risk experiment with a semi-structural model," Occasional Paper Series 301, European Central Bank.
    19. Alogoskoufis, Spyros & Dunz, Nepomuk & Emambakhsh, Tina & Hennig, Tristan & Kaijser, Michiel & Kouratzoglou, Charalampos & Muñoz, Manuel A. & Parisi, Laura & Salleo, Carmelo, 2021. "ECB’s economy-wide climate stress test," Occasional Paper Series 281, European Central Bank.

  8. Margherita Giuzio & Sandra Paterlini, 2016. "Undiversifying during Crises: Is It a Good Idea?," Working Papers (Old Series) 1628, Federal Reserve Bank of Cleveland.

    Cited by:

    1. Giovanni Bonaccolto & Massimiliano Caporin & Bertrand Maillet, 2022. "Dynamic Large Financial Networks via Conditional Expected Shortfalls," Post-Print hal-03287947, HAL.
    2. Hongxin Zhao & Lingchen Kong & Hou-Duo Qi, 2021. "Optimal portfolio selections via $$\ell _{1, 2}$$ ℓ 1 , 2 -norm regularization," Computational Optimization and Applications, Springer, vol. 80(3), pages 853-881, December.
    3. Giovanni Bonaccolto, 2021. "Quantile– based portfolios: post– model– selection estimation with alternative specifications," Computational Management Science, Springer, vol. 18(3), pages 355-383, July.
    4. Kremer, Philipp J. & Lee, Sangkyun & Bogdan, Małgorzata & Paterlini, Sandra, 2020. "Sparse portfolio selection via the sorted ℓ1-Norm," Journal of Banking & Finance, Elsevier, vol. 110(C).
    5. Giovanni Bonaccolto, 2019. "Critical Decisions for Asset Allocation via Penalized Quantile Regression," Papers 1908.04697, arXiv.org.

Articles

  1. Alogoskoufis, Spyros & Carbone, Sante & Coussens, Wouter & Fahr, Stephan & Giuzio, Margherita & Kuik, Friderike & Parisi, Laura & Salakhova, Dilyara & Spaggiari, Martina, 2021. "Climate-related risks to financial stability," Financial Stability Review, European Central Bank, vol. 1.

    Cited by:

    1. Chris Kenyon & Mourad Berrahoui & Andrea Macrina, 2021. "Sustainability Manifesto for Financial Products: Carbon Equivalence Principle," Papers 2112.04181, arXiv.org.
    2. Gergely Manasses & Eva Paulik & Attila Tapaszti, 2022. "Green Bond Impact Report as an Essential Next Step in Market Development," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 21(4), pages 180-204.
    3. Donato Masciandaro & Romano Vincenzo Tarsia, 2021. "Society, Politicians, Climate Change and Central Banks: An Index of Green Activism," BAFFI CAREFIN Working Papers 21167, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    4. Pal Peter Kolozsi & Sandor Ladanyi & Andras Straubinger, 2022. "Measuring the Climate Risk Exposure of Financial Assets - Methodological Challenges and Central Bank Practices," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 21(1), pages 113-140.
    5. Chen, Ning & Li, Shaofang & Lu, Shuai, 2023. "The extreme risk connectedness of the global financial system: G7 and BRICS evidence," Journal of Multinational Financial Management, Elsevier, vol. 69(C).
    6. Dafermos, Yannis & van Lerven, Frank & Nikolaidi, Maria, 2022. "Greening capital requirements," LSE Research Online Documents on Economics 116946, London School of Economics and Political Science, LSE Library.

  2. Giuzio, Margherita & Krušec, Dejan & Levels, Anouk & Melo, Ana Sofia & Mikkonen, Katri & Radulova, Petya, 2019. "Climate change and financial stability," Financial Stability Review, European Central Bank, vol. 1.

    Cited by:

    1. Nikola Fabris, 2020. "Financial Stability and Climate Change," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(3), pages 27-43.
    2. Jiaying Peng & Yuhang Zheng & Ke Mao, 2021. "Heterogeneous Impacts of Extreme Climate Risks on Global Energy Consumption Transition: An International Comparative Study," Energies, MDPI, vol. 14(14), pages 1-18, July.
    3. Di Tommaso, Caterina & Foglia, Matteo & Pacelli, Vincenzo, 2023. "The impact and the contagion effect of natural disasters on sovereign credit risk. An empirical investigation," International Review of Financial Analysis, Elsevier, vol. 87(C).
    4. Ozili, Peterson K, 2020. "Effect of climate change on financial institutions and the financial system," MPRA Paper 103317, University Library of Munich, Germany.
    5. Mueller, Isabella & Sfrappini, Eleonora, 2022. "Climate Change-Related Regulatory Risks and Bank Lending," Working Paper Series 2670, European Central Bank.
    6. D'Orazio, Paola & Hertel, Tobias & Kasbrink, Fynn, 2022. "No need to worry? Estimating the exposure of the German banking sector to climate-related transition risks," Ruhr Economic Papers 946, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    7. Flori, Andrea & Pammolli, Fabio & Spelta, Alessandro, 2021. "Commodity prices co-movements and financial stability: A multidimensional visibility nexus with climate conditions," Journal of Financial Stability, Elsevier, vol. 54(C).
    8. Gambacorta, Leonardo & Polizzi, Salvatore & Reghezza, Alessio & Scannella, Enzo, 2023. "Do banks practice what they preach? Brown lending and environmental disclosure in the euro area," Working Paper Series 2872, European Central Bank.
    9. Gregor Semieniuk & Emanuele Campiglio & Jean-Francois Mercure & Ulrich Volz & Neil R. Edwards, 2020. "Low-carbon transition risks for finance," Working Papers 233, Department of Economics, SOAS University of London, UK.
    10. Pablo Neudorfer, 2022. "Tail risk in the fossil fuel industry: an option implied analysis around the unburnable carbon news," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(1), pages 493-511, March.
    11. Nguyen, Quyen & Diaz-Rainey, Ivan & Kuruppuarachchi, Duminda & McCarten, Matthew & Tan, Eric K.M., 2023. "Climate transition risk in U.S. loan portfolios: Are all banks the same?," International Review of Financial Analysis, Elsevier, vol. 85(C).
    12. Andersson, Malin & Baccianti, Claudio & Morgan, Julian, 2020. "Climate change and the macro economy," Occasional Paper Series 243, European Central Bank.
    13. Larisa I. Yuzvovich & Maksim S. Maramygin & Mayya I. Lvova, 2023. "The impact of ESG factors on Russia’s banking sector," Journal of New Economy, Ural State University of Economics, vol. 24(3), pages 74-90, October.
    14. Paola D'Orazio & Lilit Popoyan, 2020. "Taking up the climate change challenge: a new perspective on central banking," LEM Papers Series 2020/19, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    15. Vasile Dedu & Dan-Costin Nițescu & Maria-Alexandra Cristea, 2021. "The Impact of Macroeconomic, Social and Governance Factors on the Sustainability and Well-Being of the Economic Environment and the Robustness of the Banking System," Sustainability, MDPI, vol. 13(10), pages 1-13, May.
    16. Billio, Monica & Costola, Michele & Hristova, Iva & Latino, Carmelo & Pelizzon, Loriana, 2022. "Sustainable finance: A journey toward ESG and climate risk," SAFE Working Paper Series 349, Leibniz Institute for Financial Research SAFE.
    17. Torri, Gabriele & Radi, Davide & Dvořáčková, Hana, 2022. "Catastrophic and systemic risk in the non-life insurance sector: A micro-structural contagion approach," Finance Research Letters, Elsevier, vol. 47(PB).
    18. Pablo Aguilar & Beatriz González & Samuel Hurtado, 2022. "Carbon tax sectoral (CATS) model: a sectoral model for energy transition stress test scenarios," Occasional Papers 2218, Banco de España.

  3. Margherita Giuzio & Sandra Paterlini, 2019. "Un-diversifying during crises: Is it a good idea?," Computational Management Science, Springer, vol. 16(3), pages 401-432, July.
    See citations under working paper version above.
  4. Margherita Giuzio & Kay Eichhorn-Schott & Sandra Paterlini & Vincent Weber, 2018. "Tracking hedge funds returns using sparse clones," Annals of Operations Research, Springer, vol. 266(1), pages 349-371, July.

    Cited by:

    1. Margherita Giuzio, 2017. "Genetic algorithm versus classical methods in sparse index tracking," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 243-256, November.
    2. Emmanuel Mamatzakis & Mike G. Tsionas, 2021. "Testing for persistence in US mutual funds’ performance: a Bayesian dynamic panel model," Annals of Operations Research, Springer, vol. 299(1), pages 1203-1233, April.
    3. Anubha Goel & Damir Filipovi'c & Puneet Pasricha, 2024. "Sparse Portfolio Selection via Topological Data Analysis based Clustering," Papers 2401.16920, arXiv.org.

  5. Margherita Giuzio, 2017. "Genetic algorithm versus classical methods in sparse index tracking," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 243-256, November.

    Cited by:

    1. Mahdi Moeini, 2022. "Solving the index tracking problem: a continuous optimization approach," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(2), pages 807-835, June.
    2. Andrea Delle Foglie & Gianni Pola, 2021. "Make the Best from Comparing Conventional and Islamic Asset Classes: A Design of an All-Seasons Combined Portfolio," JRFM, MDPI, vol. 14(10), pages 1-17, October.
    3. Giovanni Bonaccolto, 2021. "Quantile– based portfolios: post– model– selection estimation with alternative specifications," Computational Management Science, Springer, vol. 18(3), pages 355-383, July.
    4. Margherita Giuzio & Sandra Paterlini, 2019. "Un-diversifying during crises: Is it a good idea?," Computational Management Science, Springer, vol. 16(3), pages 401-432, July.
    5. Julio Cezar Soares Silva & Adiel Teixeira de Almeida Filho, 2023. "A systematic literature review on solution approaches for the index tracking problem in the last decade," Papers 2306.01660, arXiv.org, revised Jun 2023.
    6. Giovanni Bonaccolto, 2019. "Critical Decisions for Asset Allocation via Penalized Quantile Regression," Papers 1908.04697, arXiv.org.

  6. Giuzio, Margherita & Ferrari, Davide & Paterlini, Sandra, 2016. "Sparse and robust normal and t- portfolios by penalized Lq-likelihood minimization," European Journal of Operational Research, Elsevier, vol. 250(1), pages 251-261.

    Cited by:

    1. Margherita Giuzio, 2017. "Genetic algorithm versus classical methods in sparse index tracking," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 243-256, November.
    2. C. A. Valle & J. E. Beasley, 2019. "A nonlinear optimisation model for constructing minimal drawdown portfolios," Papers 1908.08684, arXiv.org.
    3. Xin Li & Yaohua Hu & Chong Li & Xiaoqi Yang & Tianzi Jiang, 2023. "Sparse estimation via lower-order penalty optimization methods in high-dimensional linear regression," Journal of Global Optimization, Springer, vol. 85(2), pages 315-349, February.
    4. Julio Cezar Soares Silva & Adiel Teixeira de Almeida Filho, 2023. "A systematic literature review on solution approaches for the index tracking problem in the last decade," Papers 2306.01660, arXiv.org, revised Jun 2023.

Chapters

  1. Laura Capota & Margherita Giuzio & Sujit Kapadia & Dilyara Salakhova, 2022. "Are ethical and green investment funds more resilient?," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Statistics for Sustainable Finance, volume 56, Bank for International Settlements.
    See citations under working paper version above.Sorry, no citations of chapters recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-EEC: European Economics (6) 2019-03-25 2019-06-10 2019-07-15 2020-04-13 2021-09-27 2021-10-18. Author is listed
  2. NEP-RMG: Risk Management (5) 2016-12-11 2019-03-25 2019-06-10 2019-08-12 2020-04-13. Author is listed
  3. NEP-BAN: Banking (4) 2019-03-25 2019-06-10 2020-04-13 2021-10-18. Author is listed
  4. NEP-MAC: Macroeconomics (4) 2021-09-27 2021-10-18 2022-01-10 2022-04-18. Author is listed
  5. NEP-CBA: Central Banking (3) 2019-07-15 2021-09-27 2021-10-18. Author is listed
  6. NEP-ENV: Environmental Economics (3) 2022-01-10 2022-04-18 2022-12-19. Author is listed
  7. NEP-ENE: Energy Economics (2) 2022-01-10 2022-04-18
  8. NEP-MON: Monetary Economics (2) 2021-09-27 2021-10-18
  9. NEP-CFN: Corporate Finance (1) 2022-04-18
  10. NEP-FMK: Financial Markets (1) 2019-06-10
  11. NEP-IAS: Insurance Economics (1) 2019-08-12
  12. NEP-IFN: International Finance (1) 2021-09-27
  13. NEP-ISF: Islamic Finance (1) 2021-09-27

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