Browsing by Author "Consiglio, Andrea"
Now showing items 1-20 of 27
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Article
Asset and liability management for insurance products with minimum guarantees: The UK case
Consiglio, Andrea; Saunders, D.; Zenios, Stavros A. (2006)
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Article
Asset and liability modelling for participating policies with guarantees
Consiglio, Andrea; Cocco, Flavio; Zenios, Stavros A. (2008)
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Article
A conditional value-at-risk model for insurance products with a guarantee
Consiglio, Andrea; Pecorella, A.; Zenios, Stavros A. (2009)
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Article
Contingent Convertible Bonds for Sovereign Debt Risk Management
Consiglio, Andrea; Zenios, Stavros A. (2018)We consider convertible bonds that contractually stipulate payment standstill, contingent on a market indicator of a sovereign’s credit worthiness breaching a distress threshold. This financial innovation limits ex ante ...
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Working Paper Open Access
Contingent convertible bonds for sovereign debt risk management
Consiglio, Andrea; Zenios, Stavros A. (The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2015-11)We consider convertible bonds that contractually stipulate payment standstill, contingent on a market indicator of a sovereign's creditworthiness breaching a distress threshold. This financial innovation limits ex-ante the ...
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Article
Designing and pricing guarantee options in defined contribution pension plans
Consiglio, Andrea; Tumminello, M.; Zenios, Stavros A. (2015)
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Article
Designing portfolios of financial products via integrated simulation and optimization models
Consiglio, Andrea; Zenios, Stavros A. (1999)
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Article
Integrated simulation and optimization models for tracking international fixed income indices
Consiglio, Andrea; Zenios, Stavros A. (2001)
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Article
A model for designing callable bonds and its solution using tabu search
Consiglio, Andrea; Zenios, Stavros A. (1997)
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Article
A parsimonious model for generating arbitrage-free scenario trees
Consiglio, Andrea; Carollo, A.; Zenios, Stavros A. (2016)
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Working Paper Open Access
Portfolio diversification in the sovereign credit swap markets
Consiglio, Andrea; Lotfi, Somayyeh; Zenios, Stavros A. (Springer, 2017-05)We develop models for portfolio diversification in the sovereign credit default swap (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient ...
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Article
Portfolio diversification in the sovereign credit swap markets
Consiglio, Andrea; Lotfi, S.; Zenios, Stavros A. (2017)
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Article
Portfolio diversification in the sovereign credit swap markets
Consiglio, Andrea; Lotfi, Somayyeh; Zenios, Stavros A. (2018)We develop models for portfolio diversification in the sovereign credit default swaps (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient ...
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Book Chapter
Practical Financial Optimization: A Library of GAMS Models
Zenios, Stavros A.; Consiglio, Andrea; Nielsen, Soren S. (2012)
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Working Paper Open Access
Pricing and Hedging GDP-Linked Bonds in Incomplete Markets
Consiglio, Andrea; Zenios, Stavros A. (The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA, 2017-09)We model the super-replication of payoffs linked to a country's GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model, we obtain a hedging ...
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Article
Pricing and hedging GDP-linked bonds in incomplete markets
Consiglio, Andrea; Zenios, Stavros A. (2018)We model the super-replication of payoffs linked to a country’s GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model we obtain a hedging ...
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Article
Pricing sovereign contigent convertible debt
Consiglio, Andrea; Tumminello, Michele; Zenios, Stavros A. (2018)We develop a pricing model for Sovereign Contingent Convertible bonds (S-CoCo) with payment standstills triggered by a sovereign’s Credit Default Swap (CDS) spread. We model CDS spread regime switching, which is prevalent ...
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Working Paper Open Access
Pricing sovereign contingent convertible debt
Consiglio, Andrea; Tumminello, Michele; Zenios, Stavros A. (The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2017-11)We develop a pricing model for sovereign contingent convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's credit default swap CDS spread. One innovation is the modeling of CDS spread regime switching ...
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Book Chapter
The Prometeia Model for Managing Insurance Policies with Guarantees
Consiglio, Andrea; Cocco, Flavio; Zenios, Stavros A. (2008)
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Working Paper Open Access
Risk management for sovereign financing within a debt sustainability framework
Athanasopoulou, Marialena; Consiglio, Andrea; Erce, Aitor; Gavilan Gonzalez, Angel; Moshammer, Edmund; Zenios, Stavros A. (European Stability Mechanism Working Paper No. 31, 2018-09)The mix of instruments used to finance a sovereign is a key determinant of debt sustainability through its effect on funding costs and risks. We extend standard debt sustainability analysis to incorporate debt-financing ...