Dr. Ivan Sangiorgi
Dr. Ivan Sangiorgi
- Lecturer in Finance
- Undergraduate Exams Officer
Profile & Expertise
Ivan is a Lecturer in Finance at the ICMA Centre since September 2017. Ivan’s research interests are in applied empirical finance, and in particular the areas of money markets, repurchase agreements (repos), fixed income markets and behavioural finance. Ivan graduated from Università Commerciale Luigi Bocconi with a BSc in Business Administration. In 2011 he received seminar training from the Bank of Italy in sovereign debt modelling. Prior to starting his PhD at the ICMA Centre, Ivan obtained an MSc in Quantitative Finance from the University of Bologna with a research thesis jointly conducted in collaboration with Birkbeck, University of London.
- Applied Empirical Finance
- Money Markets
- Repurchase Agreements (Repos)
- Fixed Income Markets
- Behavioural Finance
Key publications, books, research & papers
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Explaining Repo Specialness
We study the dynamics of specialness for 1-day repo contracts on Italian government bonds over a 10-year sample period. As predicted by Duffie’s (1996) model, our results show that collateral supply is a significant factor for specialness. However, we enrich that finding by also showing a clear impact from repo liquidity, collateral riskiness, information uncertainty and short-selling proxies, revealing the importance of speculative bond demand for specialness. During crisis periods, bond fire sales and European Central Bank interventions also have a large impact on repo specialness. We identify recurrent patterns for specialness around bond auctions. Specialness increases steadily from the auction announcement date until a few days before the auction settlement date, which is consistent with overbidding behavior and a short selling of treasuries (via reverse repos) from primary dealers ahead of auctions.
Experience wears the trousers: exploring gender and attitude to financial risk
Are men more tolerant of investment risk than women, and if so, why? In this paper we examine gender differences in attitudes to financial risk using a very large database of questionnaires completed in the context of real investment decisions. We find that men are more financially risk tolerant than women, but this difference cannot be explained by differences in age, employment patterns or by the effect of being in- versus out-of-work. We do, however, find that previous investment experience plays a significant explanatory role. We also observe that, following discussion with a financial advisor, the riskiness of the investment products selected by women are modified to a greater extent from their revealed risk preferences than those of men. We also find that where the risk tolerances of wives and husbands differ when they visit an advisor together, the preferences of the man have a stronger effect on the finally selected joint product when the wife is more risk tolerant than her husband, where she has a lower status job, or where she has less financial experience. Our research provides new evidence on the reasons why women take less financial risk than men and on the outcomes that result when men and women interact in a decision-making process.
Why are older investors less willing to take financial risks?
We investigate the link between age and tolerance of financial risks in the context of attitude to risk questionnaires completed by clients when meeting their financial advisors. Using a unique database comprising the responses to over half a million such questionnaires, we show that risk tolerance declines at an increasing, albeit slow, rate with age. We investigate the explanatory power of the ability to bear losses, declining investment horizon and retirement effects, finding that these variables have considerably greater explanatory power for the cross-section of risk aversion than age, and that they are only able to partially mediate the link between age and risk tolerance. We are unable to uncover any evidence that declining cognitive abilities among older investors are able to explain their lower willingness to take financial risks. Overall, our results are indicative of a modest age effect in risk tolerance that cannot be attributed to changes in other observable characteristics that differ between younger and older investors.
Essays on the repo market
This thesis contributes to the broad body of research in the area of money markets, and focuses on repurchase agreements (repos). In the three main chapters of the thesis, I empirically investigate the determinants of the funding liquidity in the repo markets, and the interconnections between the repo markets and the sovereign bond markets. First, I evaluate the impact of sovereign bond riskiness, repo riskiness and treasury auctions on the security-specific costs of procuring Italian government bonds as collaterals (which I call repo specialness) for 1-day repo contracts. I provide evidence that bond supply and riskiness, repo liquidity,speculative demand, bond fire-sales and the unconventional interventions by the European Central Bank (ECB) drive the repo specialness. Additionally, I identify recurrent patterns for specialness around bond auctions, which are consistent with an overbidding behaviour of primary dealers. Next, I explain the intraday variations of the spread between the rate of Italian GC overnight repos and the ECB deposit rate. The intraday repo spread is higher in the morning than in the afternoon, suggesting that banks ensure funding liquidity at the beginning of the day for prudential liquidity management. Collateral riskiness, repo riskiness, and the excess liquidity provided by the ECB affect the intraday repo spread. Moreover, bond supply, liquidity, modified duration, repo specialness and the margin costs determine the selection of bonds used in GC repos. Finally, I analyse which factors explain the use of CCP-based repos with respect to bilaterally-traded (BIL) repos on Italian Treasuries, as well as the difference of their repo rates. When general market uncertainty increases, CCP repos are preferred to bilateral-traded repos. However, banks demand a risk premium on top of the BIL repo rate when the margin costs are above their median value, suggesting that higher margins make it less attractive to trade via CCPs.