Browsing by Subject "Risk management"
Now showing items 1-13 of 13
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Working Paper Open Access
Contingent convertible bonds for sovereign debt risk management
(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
A dynamic stochastic programming model for international portfolio management
(2008)We develop a multi-stage stochastic programming model for international portfolio management in a dynamic setting. We model uncertainty in asset prices and exchange rates in terms of scenario trees that reflect the empirical ...
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Article
A dynamic stochastic programming model for international portfolio management
(2008)We develop a multi-stage stochastic programming model for international portfolio management in a dynamic setting. We model uncertainty in asset prices and exchange rates in terms of scenario trees that reflect the empirical ...
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Doctoral Thesis Open Access
Essays in financial economics: dividend policy
(Πανεπιστήμιο Κύπρου, Σχολή Οικονομικών Επιστημών και Διοίκησης / University of Cyprus, Faculty of Economics and Management, 2008-04)Οι στόχοι της παρούσας διδακτορικής διατριβής είναι: 1) να εξετάσει τους παράγοντες οι οποίοι επηρεάζουν την μερισματική πολιτική των δημοσίων εταιρειών (το δείγμα υπό μελέτη αφορά εταιρείες εισηγμένες στα κυριότερα ...
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Doctoral Thesis Open Access
Essays on financial intermediation
(Πανεπιστήμιο Κύπρου, Σχολή Οικονομικών Επιστημών και Διοίκησης / University of Cyprus, Faculty of Economics and Management, 2014-12)Η διατριβή με τίτλο «Δοκίμια για τη χρηματοπιστωτική διαμεσολάβηση» αποτελείται από τρία αλληλένδετα κεφάλαια που σχετίζονται με την βιβλιογραφία της εμπειρικής τραπεζικής. Στο πρώτο κεφάλαιο εκτιμούμε το βαθμό του ...
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Doctoral Thesis Open Access
Essays on real options and multinationality
(Πανεπιστήμιο Κύπρου, Σχολή Οικονομικών Επιστημών και Διοίκησης / University of Cyprus, Faculty of Economics and Management, 2012-05)Η παρούσα διδακτορική διατριβή ασχολείται με το ερευνητικό θέμα “Real Options και Multinationality”. Η θεωρία των “Real Options” αφορά τη χρήση μεθόδων αποτίμησης προαιρετικών δικαιωμάτων για εκτίμηση επενδύσεων και λήψη ...
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Article
Monitoring disruptions in financial markets
(2006)We study historical and sequential CUSUM change-point tests for strongly dependent nonlinear processes. These tests are used to monitor the conditional variance of asset returns and to provide real-time information regarding ...
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Article
Optimizing international portfolios with options and forwards
(2011)We develop a stochastic programming model to address in a unified manner a number of interrelated decisions in international portfolio management: optimal portfolio diversification and mitigation of market and currency ...
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Article
Optimizing international portfolios with options and forwards
(2011)We develop a stochastic programming model to address in a unified manner a number of interrelated decisions in international portfolio management: optimal portfolio diversification and mitigation of market and currency ...
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Conference Object
PortSec: A port security risk analysis and resource allocation system
(2010)Ports are important nodal points that stimulate the US economy. This is particularly true of the Ports of Los Angeles and Long Beach (POLA/LB). Over 40% of all containers shipped to and out of the US flow through this ...
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Working Paper Open Access
Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2017-05)We express the opinion that sovereign debt sustainability analysis must be augmented by stochastic correlated risk factors and a risk measure to capture tail effects. Crisis situations can thus be adequately specified and ...
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Conference Object
Testing the predictability of the Cyprus Stock Exchange: The case of an emerging market
(IEEE, 2000)A systematic investigation of the effect of different neural network architecture alternatives for predicting the future course of stock prices in the Cyprus Stock Exchange (CSE) market is conducted. This market exhibited ...
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Book
Xenobiotics in the urban water cycle: mass flows, environmental processes, mitigation and treatment strategies
(Springer, 2010)