Alberto Plazzi

Alberto Plazzi is Professor of Finance at the Università della Svizzera italiana, where he acts as academic director for the Master in Finance. Professor Plazzi is a regular speaker at finance conferences worldwide and his papers have been published in top academic journals.

Expertise

Professor Plazzi is studying COVID-19– induced credit risk spillovers between governments and large nonfinancial corporations. The effect of the pandemic on corporate-to-sovereign-credit default swap spreads was high for core European Union countries with strong fiscal capacity and muted for peripheral European countries. Data further shows quotes' systematic departure from fundamental credit risk for larger firms in core European Union countries. A bailout-augmented disaster-risk asset pricing model, with defaultable public debt, explains this puzzling finding. Finally, the extent of the bailout guarantee in credit default swaps is about three times larger in the core than in the periphery of the European Union. One thought-provoking regulatory implication here is that credit risk contagion could signal market participants' pricing of government support.