Dr Giovanni Calice

Lecturer in Financial Economics

giovanni-110x146

Contact details

Telephone +44 (0) 121 414 4956

Fax +44 (0) 121 414 7377

Email g.calice@bham.ac.uk

Department of Economics
University of Birmingham
JG Smith Building
Birmingham
B15 2TT

Qualifications

  • Doctor of Philosophy in Economics (University of Bath)
  • Doctor of Philosophy in Banking and Finance (University of Rome “La Sapienza”)
  • Master of Science in Financial Economics (University of Leicester)
  • Laurea in Economics, summa cum laude (University of Rome “La Sapienza”)
  • Fellow of The Higher Education Academy

Teaching

  •  Economics of Corporate Finance
  • Security Analysis and Portfolio Theory

Research

RESEARCH GROUP

Econometrics, Macroeconomics and Finance

RESEARCH INTERESTS

Derivative Security Markets; Credit Risk Transfer and Financial Stability; International Banking and Equity Markets; Financial Innovation and Market Regulation; Central Banking and Monetary Policy; Liquidity and Fixed Income and Over-the-Counter Markets; Asset Pricing with a focus on the effects of Liquidity Risk; Market Microstructure; Corporate Finance

Other activities

Director of the MSc Programme in Money, Banking and Finance

Publications

SELECTED PUBLICATIONS

Calice G., (2014), "CDX and iTraxx and their Relation to the Systemically Important Financial Institutions: Evidence from the 2008-2009 Financial Crisis", Journal of International Financial Markets, Institutions & Money, 32, 20-37.

Calice G., Sterba F., Vasicek B., (August 2014), "Short-term Determinants of the Idiosyncratic Sovereign Risk Premium: A Regime-Dependent Analysis for European Credit Default Swaps", European Central Bank Working Paper Series No. 1717, European Central Bank.

Calice G., Chen J. and Williams J., (2013), “Liquidity Spillovers in Sovereign Bond and CDS Markets: An Analysis of the Eurozone Sovereign Debt Crisis”, Journal of Economic Behavior and Organization, 85, 122-143.

Calice G., Chen J. and Williams J., (2013), “Are The Benefits to Being Naked? The Returns and Diversification Impact of Capital Structure Arbitrage", European Journal of Finance, 19, 9, 815-840.

Calice G., Ioannidis C. and Williams J., (2012), “Credit Risk Transfer and the Default Risk of Large Complex Financial Institutions", Journal of Financial Services Research, 42, 1-2, 85-107.

Calice G., Ioannidis C., (2012) “An Empirical Analysis of the Impact of the Credit Default Swap Index Market on Large Complex Financial Institutions”, International Review of Financial Analysis, 25, 117-130.

Calice G., (2011), “The Subprime Asset-Backed Securities Market and the Equity Prices of Large Complex Financial Institutions", Journal of International Financial Markets, Institutions & Money, 21, 4, 585-604 .

Calice G., Chen J. and Williams J., (April 2013), “Liquidity Spillovers in Credit Markets During the Eurozone Crisis”, in: “Financial Crisis Containment and Government Guarantees”, John R. LaBrosse, Rodrigo Olivares-Caminal and Dalvinder Singh (eds), Edward Elgar.

Calice G., Ioannidis C. and Williams J., (2011), “Credit Derivatives and the Forecasting of Bank Defaults”, CESifo Working Paper No. 3583.

Back to top