Skip to main content

Public Debt: Risk Management and Restructuring Optimization

Searching for OpenAIRE data...

Publications

Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances

Author(s): Somayyeh Lotfi, Stavros A. Zenios
Published in: European Journal of Operational Research, Issue 269/2, 2018, Page(s) 556-576, ISSN 0377-2217
DOI: 10.1016/j.ejor.2018.02.003

Contingent Convertible Bonds for Sovereign Debt Risk Management

Author(s): Andrea Consiglio, Stavros A. Zenios
Published in: Journal of Globalization and Development, Issue 9/1, 2018, ISSN 1948-1837
DOI: 10.1515/jgd-2017-0011

PRICING SOVEREIGN CONTINGENT CONVERTIBLE DEBT

Author(s): ANDREA CONSIGLIO, MICHELE TUMMINELLO, STAVROS A. ZENIOS
Published in: International Journal of Theoretical and Applied Finance, Issue 21/08, 2018, Page(s) 1850049, ISSN 0219-0249
DOI: 10.1142/s0219024918500498

Portfolio diversification in the sovereign credit swap markets

Author(s): Andrea Consiglio, Somayyeh Lotfi, Stavros A. Zenios
Published in: Annals of Operations Research, Issue 266/1-2, 2018, Page(s) 5-33, ISSN 0254-5330
DOI: 10.1007/s10479-017-2565-5

Integrated dynamic models for hedging international portfolio risks

Author(s): Nikolas Topaloglou, Hercules Vladimirou, Stavros A. Zenios
Published in: European Journal of Operational Research, 2019, ISSN 0377-2217
DOI: 10.1016/j.ejor.2019.01.027

State Contingent Debt as Insurance for Euro-Area Sovereigns

Author(s): Maria Demertzis, Stavros A. Zenios
Published in: SSRN Electronic Journal, 2019, ISSN 1556-5068
DOI: 10.2139/ssrn.3171964

Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling

Author(s): Andrea Consiglio, Stavros A. Zenios
Published in: Optimization and Engineering, Issue 18/2, 2017, Page(s) 537-558, ISSN 1389-4420
DOI: 10.1007/s11081-017-9360-7

Pricing and hedging GDP-linked bonds in incomplete markets

Author(s): Andrea Consiglio, Stavros A. Zenios
Published in: Journal of Economic Dynamics and Control, Issue 88, 2018, Page(s) 137-155, ISSN 0165-1889
DOI: 10.1016/j.jedc.2018.01.001

Optimization for financial engineering: a special issue

Author(s): Roy H. Kwon, Stavros A. Zenios
Published in: Optimization and Engineering, Issue 18/2, 2017, Page(s) 343-347, ISSN 1389-4420
DOI: 10.1007/s11081-017-9358-1

Risk Management Optimization for Sovereign Debt Restructuring

Author(s): Andrea Consiglio, Stavros A. Zenios
Published in: Journal of Globalization and Development, Issue 6/2, 2015, ISSN 1948-1837
DOI: 10.1515/jgd-2015-0015

Politics, Policy, and International Stock Returns

Author(s): Vito Gala, Giovanni Pagliardi, Stavros A. Zenios
Published in: SSRN Electronic Journal, 2018, ISSN 1556-5068
DOI: 10.2139/ssrn.3242300

Risk Management for Sovereign Financing within a Debt Sustainability Framework

Author(s): Marialena Athanasopoulou, Andrea Consiglio, Aitor Erce, Angel Gavilan Gonzalez, Edmund Moshammer, Stavros A. Zenios
Published in: SSRN Electronic Journal, 2018, ISSN 1556-5068
DOI: 10.2139/ssrn.3250806

A Political Capital Asset Pricing Model

Author(s): Giovanni Pagliardi, Patrice Poncet, Stavros A. Zenios
Published in: SSRN Electronic Journal, 2019, ISSN 1556-5068
DOI: 10.2139/ssrn.3351403