Public Debt: Risk Management and Restructuring Optimization

Project Information

DebtRisks

Grant agreement ID: 655092

DOI

10.3030/655092

Project closed

EC signature date 30 March 2015

Start date 1 June 2016

End date 31 December 2018

Funded under

• EXCELLENT SCIENCE - Marie Skłodowska-Curie Actions

Total cost

€ 218 094,30

EU contribution

€ 218 094,30

Coordinated by

UNIVERSITY OF CYPRUS
Cyprus

CORDIS provides links to public deliverables and publications of HORIZON projects.

Links to deliverables and publications from FP7 projects, as well as links to some specific result types such as dataset and software, are dynamically retrieved from OpenAIRE .

Publications

Peer reviewed articles (10)

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
Publisher: Elsevier BV
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
Publisher: De Gruyter
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
Publisher: World Scientific Publishing Co
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
Publisher: Kluwer Academic Publishers
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
Publisher: Elsevier BV
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
Publisher: Journal of Financial Regulation
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
Publisher: Kluwer Academic Publishers
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
Publisher: Elsevier BV
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
Publisher: Kluwer Academic Publishers
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
Publisher: De Gruyter
DOI: 10.1515/jgd-2015-0015

Non-peer reviewed articles (3)

Politics, Policy, and International Stock Returns

Author(s): Vito Gala, Giovanni Pagliardi, Stavros A. Zenios
Published in: SSRN Electronic Journal, 2018, ISSN 1556-5068
Publisher: SSRN
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
Publisher: SSRN
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
Publisher: SSRN
DOI: 10.2139/ssrn.3351403