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Research Output 2004 2018

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Article
2018

Contingent Convertible Bonds for Sovereign Debt Risk Management

Consiglio, A. & Zenios, S. A., 2018, In : JOURNAL OF GLOBALIZATION AND DEVELOPMENT. 9, p. 1-24 24 p.

Research output: Contribution to journalArticle

debt
risk management
indebtedness
market
debt crisis
4 Citations (Scopus)

Portfolio diversification in the sovereign credit swap markets

Consiglio, A., Lotfi, S. & Zenios, S. A., 2018, In : Annals of Operations Research. 266, p. 5-33 29 p.

Research output: Contribution to journalArticle

Swaps
Credit
Credit default swaps
Portfolio diversification
Euro zone
3 Citations (Scopus)

Pricing and hedging GDP-linked bonds in incomplete markets

Consiglio, A. & Zenios, S. A., 2018, In : JOURNAL OF ECONOMIC DYNAMICS & CONTROL. 88, p. 137-155 19 p.

Research output: Contribution to journalArticle

Incomplete Markets
Hedging
Parameter Design
Pricing
Risk Factors
1 Citation (Scopus)

Pricing Sovereign contingent convertible debt

Tumminello, M., Consiglio, A. & Zenios, S. A., 2018, In : International Journal of Theoretical and Applied Finance. 21, p. 1-34 34 p.

Research output: Contribution to journalArticle

Convertible bonds
Pricing
Convertible debt
Credit default swap (CDS) spreads
Bond prices
2017
1 Citation (Scopus)

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

Consiglio, A. & Zenios, S. A., 2017, In : Optimization and Engineering. 18, p. 537-558 22 p.

Research output: Contribution to journalArticle

Sustainability
Sustainable development
Strategic Planning
Strategic planning
Risk Measures
2016
14 Citations (Scopus)

A parsimonious model for generating arbitrage-free scenario trees

Carollo, A., Consiglio, A. & Zenios, S. A., 2016, In : Quantitative Finance. 16, p. 201-212 12 p.

Research output: Contribution to journalArticle

Scenarios
Arbitrage
Risk factors
Optimization problem
Financial risk
2015
3 Citations (Scopus)

Designing and pricing guarantee options in defined contribution pension plans

Tumminello, M., Consiglio, A. & Zenios, S. A., 2015, In : INSURANCE MATHEMATICS & ECONOMICS. p. 267-279 13 p.

Research output: Contribution to journalArticle

Defined contribution
Pricing
Defined contribution pension plan
Guarantee
Defined benefit

Risk Management Optimization for Sovereign Debt Restructuring

Consiglio, A., 2015, In : Journal of Globalization and Development. 6, p. 181-213 33 p.

Research output: Contribution to journalArticle

debt
risk management
indebtedness
restructuring
debt crisis
3 Citations (Scopus)

Risk profiles for re-profiling sovereign debt

Consiglio, A. & Zenios, S., 2015, In : Journal of Risk Finance. 16, p. 2-26 25 p.

Research output: Contribution to journalArticle

Debt
Profiling
Sovereign debt
Italy
Sanctions
2012
13 Citations (Scopus)

A stochastic programming model for the optimalissuance of government bonds

Consiglio, A., 2012, In : Annals of Operations Research. 193, p. 159-172 13 p.

Research output: Contribution to journalArticle

Government bonds
Conditional value at risk
Stochastic programming
Trade-offs
Public debt
2011

Simulating term structure of interest rates with arbitrary marginals

Consiglio, A. & Guirreri, S. S., 2011, In : International Journal of Risk Assessment and Management. 15, p. 299-313 15 p.

Research output: Contribution to journalArticle

Term Structure of Interest Rates
Interest Rates
Arbitrary
Leptokurtic
Economics
2010
9 Citations (Scopus)

Pricing the option to surrender in incomplete markets

Consiglio, A. & De Giovanni, D., 2010, In : JOURNAL OF RISK AND INSURANCE. 77, p. 935-957 22 p.

Research output: Contribution to journalArticle

Incomplete markets
Pricing
Incompleteness
Empirical analysis
International accounting standards
2009
3 Citations (Scopus)

A Conditional Value–at–Risk Model for Insurance Products with Guarantee

Consiglio, A., Pecorella, A. & Zenios, S. A., 2009, In : International Journal of Risk Assessment and Management. 11, p. 122-137 200 p.

Research output: Contribution to journalArticle

Conditional Model
Insurance
Conditional Value at Risk
Optimal Portfolio
Objective function
2008
22 Citations (Scopus)

Asset and Liability Modelling for Participating Policies with Guarantee

Consiglio, A., Cocco, F. & Zenios, S. A., 2008, In : European Journal of Operational Research. 186, p. 380-404 450 p.

Research output: Contribution to journalArticle

Optimization Model
Modeling
Constrained optimization
Empirical Analysis
Insurance
6 Citations (Scopus)

Evaluation of Insurance Products with Guarantee in Incomplete Markets

Consiglio, A. & De Giovanni, D., 2008, In : INSURANCE MATHEMATICS & ECONOMICS. 42, p. 332-342 400 p.

Research output: Contribution to journalArticle

Incomplete Markets
Insurance
Incompleteness
Evaluation
Regulator
2007
5 Citations (Scopus)
Double Auction
Liquidity
Simulation Analysis
Financial Markets
Model Choice
11 Citations (Scopus)

Scenario Optimization Asset and Liability Modelling for Individual Investors

Consiglio, A., Cocco, F. & Zenios, S. A., 2007, In : Annals of Operations Research. 152, p. 167-191 25 p.

Research output: Contribution to journalArticle

Assets
Liability
Modeling
Individual investors
Scenarios
2006
22 Citations (Scopus)

Asset and Liability Management for Insurance Products with Minimum Guarantees: The UK Case

Consiglio, A., Saunders, D. & Zenios, S. A., 2006, In : JOURNAL OF BANKING & FINANCE. 30, p. 645-667

Research output: Contribution to journalArticle

Asset and liability management
Insurer
Bonus
Profit
Guarantee
2005
8 Citations (Scopus)
Portfolio choice
Double auction
Trading mechanism
Simulation analysis
Financial markets
2004
10 Citations (Scopus)

www.Personal_Asset_Allocation.

Consiglio, A., Cocco, F. & Zenios, S. A., 2004, In : Interfaces. 34, p. 287-302

Research output: Contribution to journalArticle

Finance
World Wide Web
Education
Internet
Planning