Dr. Ivan Sangiorgi

'Dr. Ivan Sangiorgi

Dr. Ivan Sangiorgi

  • Lecturer in Finance
  • Undergraduate Exams Officer

Contact details

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.

Specialisms

  • Applied Empirical Finance
  • Money Markets
  • Repurchase Agreements (Repos)
  • Fixed Income Markets
  • Behavioural Finance

Key publications, books, research & papers

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Article

Explaining Repo Specialness

Dufour, A. , Marra, M. , Sangiorgi, I. and Skinner, F. S. (2019) Explaining Repo Specialness. International Journal of Finance & Economics. ISSN 1099-1158 (In Press)

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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.

Dr Alfonso Dufour

Dr Alfonso Dufour

Programme Co-Director of MSc Finance and Financial Technology (FinTech)

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Dr Miriam Marra

Dr Miriam Marra

Lecturer in Finance

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Dr. Ivan Sangiorgi

Dr. Ivan Sangiorgi

Undergraduate Exams Officer

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Article

Experience wears the trousers: exploring gender and attitude to financial risk

Brooks, C. , Sangiorgi, I. , Hillenbrand, C. and Money, K. (2019) Experience wears the trousers: exploring gender and attitude to financial risk. Journal of Economic Behavior & Organization, 163. pp. 483-515. ISSN 0167-2681 doi: https://doi.org/10.1016/j.jebo.2019.04.026

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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.

Professor Chris Brooks

Professor Chris Brooks

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Dr. Ivan Sangiorgi

Dr. Ivan Sangiorgi

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Article

Why are older investors less willing to take financial risks?

Brooks, C. , Sangiorgi, I. , Hillenbrand, C. and Money, K. (2018) Why are older investors less willing to take financial risks? International Review of Financial Analysis, 56. pp. 52-72. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2017.12.008

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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.

Professor Chris Brooks

Professor Chris Brooks

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Dr. Ivan Sangiorgi

Dr. Ivan Sangiorgi

Undergraduate Exams Officer

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Essays on the repo market

Sangiorgi, I. (2018) Essays on the repo market. PhD thesis, University of Reading.

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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.

Dr. Ivan Sangiorgi

Dr. Ivan Sangiorgi

Undergraduate Exams Officer

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Events

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Taught modules

Financial Engineering

Designed to combine theoretical and practical approaches to exotic derivatives in different markets: equity, FX, interest rates and credit. The objectives of the module include providing you with an overview of the exotic products in different markets, familiarising you with the different pricing…

Designed to combine theoretical and practical approaches to exotic derivatives in different markets: equity, FX, interest rates and credit. The objectives of the module include providing you with an overview of the exotic products in different markets, familiarising you with the different pricing…

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Bond and Money Markets

Bond and Money Markets explores the economic drivers and relationships between bond, money markets and central bank monetary policies. The module offers students the opportunity to gain an understanding of how these connections affect funding liquidity management, trading strategies and the…

Bond and Money Markets explores the economic drivers and relationships between bond, money markets and central bank monetary policies. The module offers students the opportunity to gain an understanding of how these connections affect funding liquidity management, trading strategies and the…

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Bonds and Money Markets

Bond and Money Markets explores the economic drivers and relationships between bond, money markets and central bank monetary policies. The module offers students the opportunity to gain an understanding of how these connections affect trading strategies, funding liquidity management and the…

Bond and Money Markets explores the economic drivers and relationships between bond, money markets and central bank monetary policies. The module offers students the opportunity to gain an understanding of how these connections affect trading strategies, funding liquidity management and the…

READ MORE

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