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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 ...
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 ...
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 ...
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 ...