• 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 ...
    • 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 ...