Browsing Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance by Subject "Risk management"

Now showing items 1-4 of 4

    • 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 ...
    • Article  

      A dynamic stochastic programming model for international portfolio management 

      Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (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 ...
    • Article  

      Optimizing international portfolios with options and forwards 

      Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (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 ...
    • Working Paper  Open Access

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

      Consiglio, Andrea; Zenios, Stavros A. (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 ...