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Risultato della ricerca 2004 2018

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2018

Contingent Convertible Bonds for Sovereign Debt Risk Management

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

Risultato della ricerca: Article

debt
risk management
indebtedness
market
debt crisis
5 Citazioni (Scopus)

Portfolio diversification in the sovereign credit swap markets

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

Risultato della ricerca: Article

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

Pricing and hedging GDP-linked bonds in incomplete markets

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

Risultato della ricerca: Article

Incomplete Markets
Hedging
Parameter Design
Pricing
Risk Factors
1 Citazione (Scopus)
Convertible bonds
Pricing
Convertible debt
Credit default swap (CDS) spreads
Bond prices
2017
1 Citazione (Scopus)
Sustainability
Sustainable development
Strategic Planning
Strategic planning
Risk Measures
2016
14 Citazioni (Scopus)

A parsimonious model for generating arbitrage-free scenario trees

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

Risultato della ricerca: Article

Scenarios
Arbitrage
Risk factors
Optimization problem
Financial risk
2015
3 Citazioni (Scopus)
Defined contribution
Pricing
Defined contribution pension plan
Guarantee
Defined benefit
debt
risk management
indebtedness
restructuring
debt crisis
3 Citazioni (Scopus)

Risk profiles for re-profiling sovereign debt

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

Risultato della ricerca: Article

Debt
Profiling
Sovereign debt
Italy
Sanctions
2012
13 Citazioni (Scopus)
Government bonds
Conditional value at risk
Stochastic programming
Trade-offs
Public debt
2011
Term Structure of Interest Rates
Interest Rates
Arbitrary
Leptokurtic
Economics
2010
9 Citazioni (Scopus)

Pricing the option to surrender in incomplete markets

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

Risultato della ricerca: Article

Incomplete markets
Pricing
Incompleteness
Empirical analysis
International accounting standards
2009
3 Citazioni (Scopus)
Conditional Model
Insurance
Conditional Value at Risk
Optimal Portfolio
Objective function
2008
22 Citazioni (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, pag. 380-404 450 pag.

Risultato della ricerca: Article

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

Evaluation of Insurance Products with Guarantee in Incomplete Markets

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

Risultato della ricerca: Article

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

Scenario Optimization Asset and Liability Modelling for Individual Investors

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

Risultato della ricerca: Article

Assets
Liability
Modeling
Individual investors
Scenarios
2006
22 Citazioni (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, pag. 645-667

Risultato della ricerca: Article

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

www.Personal_Asset_Allocation.

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

Risultato della ricerca: Article

Finance
World Wide Web
Education
Internet
Planning