Browsing Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance by Author "Zenios, Stavros A."
Now showing items 1-20 of 160
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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
Asset/liability management under uncertainty for fixed-income securities
Zenios, Stavros A. (1995)
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Article
Balancing large social accounting matrices with nonlinear network programming
Zenios, Stavros A.; Drud, Arne; Mulvey, John M. (1989)
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Book
Balancing large social accounting matrices with nonlinear network programming
Drud, Arne; Zenios, Stavros A.; Mulvey, John M. (Development Research Dept., Economics and Research Staff, World Bank, 1986)
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Article
Benchmarks of the efficiency of bank branches
Zenios, C. V.; Zenios, Stavros A.; Agathocleous, Kostas; Soteriou, Andreas C. (1999)
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Article
Capturing the correlations of fixed-income instruments
Mulvey, John M.; Zenios, Stavros A. (1994)
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Book
Chapter 10 Modeling languages in computational economics: Gams
Zenios, Stavros A. (1996)
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Book
Chapter 5 Parallel Computing in Network Optimization
Bertsekas, Dimitri; Castanon, David; Eckstein, Jonathan; Zenios, Stavros A. (1995)
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Article
Comparative study of algorithms for matrix balancing
Schneider, Michael H.; Zenios, Stavros A. (1990)
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Article
A comparative study of parallel decompositions for multicommodity flow problems
Pinar, Mustafa C.; Zenios, Stavros A. (1993)
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Article
Complete Prepayment Models for Mortgage-Backed Securities
Kang, Pan; Zenios, Stavros A. (1992)The estimation of prepayment rates for pools of mortgages is a critical component in determining the value of mortgage-backed securities—MBS for short—and derivative products. This paper discusses the development of ...
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Article
Computation of feasible portfolio control strategies for an insurance company using a discrete time asset/liability model
Frangos, C.; Zenios, Stavros A.; Yavin, Y. (2004)
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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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Book Chapter
Controlling Currency Risk with Options or Forwards
Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (Springer, 2007)
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Book Chapter
Controlling currency risk with options or forwards
Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (Springer International Publishing, 2008)
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Article
Credit risk optimization using factor models
Saunders, D.; Xiouros, C.; Zenios, Stavros A. (2007)
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Article
CVaR models with selective hedging for international asset allocation
Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (2002)We develop an integrated simulation and optimization framework for multicurrency asset allocation problems. The simulation applies principal component analysis to generate scenarios depicting the discrete joint distributions ...