Details about Stavros A. Zenios

Homepage:	http://zenios.wordpress.com
Phone:	+35722893605
Postal address:	about.me/Zenios
Workplace:	Institutt for finans (Department of Finance), Norges Handelshøyskole (NHH) (Norwegian School of Economics), (more information at EDIRC) Financial Institutions Center, Wharton School of Business, University of Pennsylvania, (more information at EDIRC) Department of Accounting and Finance, Faculty of Economics and Management, University of Cyprus, (more information at EDIRC)

Access statistics for papers by Stavros A. Zenios.

Last updated 2024-09-06. Update your information in the RePEc Author Service.

Short-id: pas152

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Jump to Journal Articles Edited books Chapters

Working Papers

2022

1. Debt sustainability and monetary policy: the case of ECB asset purchases
   BIS Working Papers, Bank for International Settlements View citations (6)

2019

2. Risk Management for Sovereign Debt Financing with Sustainability Conditions
   Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (1)

2018

3. Pricing and hedging GDP-linked bonds in incomplete markets
   Working Papers, European Stability Mechanism View citations (8)
   Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2017) View citations (2)
   See also Journal Article Pricing and hedging GDP-linked bonds in incomplete markets, Journal of Economic Dynamics and Control, Elsevier (2018) View citations (9) (2018)
4. Pricing sovereign contingent convertible debt
   Papers, arXiv.org View citations (5)
   Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2016) View citations (2)
   See also Journal Article PRICING SOVEREIGN CONTINGENT CONVERTIBLE DEBT, Journal of Enterprising Culture (JEC), World Scientific Publishing Co. Pte. Ltd. (2018) View citations (1) (2018)
5. Risk management for sovereign financing within a debt sustainability framework
   Working Papers, European Stability Mechanism View citations (2)
6. State contingent debt as insurance for euro-area sovereigns
   Bruegel Working Papers, Bruegel View citations (2)
   See also Journal Article State Contingent Debt as Insurance for Euro Area Sovereigns, Journal of Financial Regulation, Oxford University Press (2019) View citations (2) (2019)

2016

7. Portfolio Diversification in the Sovereign Credit Swap Markets
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center
   See also Journal Article Portfolio diversification in the sovereign credit swap markets, Annals of Operations Research, Springer (2018) View citations (7) (2018)

2015

8. The Case for Contingent Convertible Debt for Sovereignst
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (2)

2014

9. Fairness and Reflexivity in the Cyprus Bail-In
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (5)
10. Generating Multi-factor Arbitrage-Free Scenario Trees with Global Optimization
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (1)
11. Risk Management Optimization for Sovereign Debt Restructuring
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (7)
    See also Journal Article Risk Management Optimization for Sovereign Debt Restructuring, Journal of Globalization and Development, De Gruyter (2015) View citations (12) (2015)
12. Risk Profiles for Re-profiling the Sovereign Debt of Crisis Countries
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (1)
    See also Journal Article Risk profiles for re-profiling the sovereign debt of crisis countries, Journal of Risk Finance, Emerald Group Publishing Limited (2015) (2015)

2013

13. The Cyprus Debt: Perfect Crisis and a Way Forward
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (13)
    See also Journal Article The Cyprus Debt: Perfect Crisis and a Way Forward, Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre (2013) View citations (12) (2013)

2006

14. A Stochastic Programming Framework for International PortfolioManagement
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (1)
15. Financial Products with Guarantees: Applications, Models and Internet-based services
    Computing in Economics and Finance 2006, Society for Computational Economics

2002

16. A Geometric Programming Approach for Managing Participating Insurance Policies with Minimum Guarantees
    Computing in Economics and Finance 2002, Society for Computational Economics

2001

17. Asset and Liability Modeling for Participating Policies with Guarantees
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (4)
    See also Journal Article Asset and liability modelling for participating policies with guarantees, European Journal of Operational Research, Elsevier (2008) View citations (13) (2008)
18. Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (5)
19. The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (11)
    See also Journal Article The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios, Journal of Risk Finance, Emerald Group Publishing Limited (2001) (2001)
20. The Value of Integrative Risk Management for Insurance Products with Guarantees
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (11)
    See also Journal Article The Value of Integrative Risk Management for Insurance Products with Guarantees, Journal of Risk Finance, Emerald Group Publishing Limited (2001) View citations (1) (2001)

2000

21. Risk Factor Analysis and Portfolio Immunization in the Corporate Bond Market
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (1)
    See also Journal Article Risk factor analysis and portfolio immunization in the corporate bond market, European Journal of Operational Research, Elsevier (2005) View citations (8) (2005)
22. Searching for the Value of Quality in Financial Services
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (4)

1999

23. Scenario Modeling of Selective Hedging Strategies
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (1)

1998

24. Scenario Modeling for the Management of International Bond Portfolios
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (4)
    See also Journal Article Scenario modeling for the management ofinternational bond portfolios, Annals of Operations Research, Springer (1999) View citations (2) (1999)
25. What Drives the Performance of Financial Institutions?
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (10)

1997

26. Disentangling Within- and Between-Country Efficiency Differences of Bank Branches
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (7)

Undated

27. Efficiency, Profitability and Quality of Banking Services
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (3)

Journal Articles

2024

1. Auditing Public Debt Using Risk Management
   Interfaces, 2024, 54, (2), 103-126
2. Mispricing of debt expansion in the eurozone sovereign credit market
   Journal of Financial Stability, 2024, 70, (C)
3. Robust mean-to-CVaR optimization under ambiguity in distributions means and covariance
   Review of Managerial Science, 2024, 18, (7), 2115-2140

2023

4. Global political risk and international stock returns
   Journal of Empirical Finance, 2023, 72, (C), 78-102 View citations (4)
5. Unconventional monetary policy and debt sustainability in Japan
   Journal of the Japanese and International Economies, 2023, 69, (C) View citations (3)

2022

6. The risks from climate change to sovereign debt
   Climatic Change, 2022, 172, (3), 1-19 View citations (18)

2021

7. Risk Management for Sustainable Sovereign Debt Financing
   Operations Research, 2021, 69, (3), 755-773 View citations (3)

2020

8. Integrated dynamic models for hedging international portfolio risks
   European Journal of Operational Research, 2020, 285, (1), 48-65 View citations (5)

2019

9. State Contingent Debt as Insurance for Euro Area Sovereigns
   Journal of Financial Regulation, 2019, 5, (1), 64-90 View citations (2)
   See also Working Paper State contingent debt as insurance for euro-area sovereigns, Bruegel Working Papers (2018) View citations (2) (2018)

2018

10. Contingent Convertible Bonds for Sovereign Debt Risk Management
    Journal of Globalization and Development, 2018, 9, (1), 24 View citations (3)
11. PRICING SOVEREIGN CONTINGENT CONVERTIBLE DEBT
    Journal of Enterprising Culture (JEC), 2018, 21, (08), 1-36 View citations (1)
    Also in International Journal of Theoretical and Applied Finance (IJTAF), 2018, 21, (08), 1-36 (2018) View citations (1)
    See also Working Paper Pricing sovereign contingent convertible debt, Papers (2018) View citations (5) (2018)
12. Portfolio diversification in the sovereign credit swap markets
    Annals of Operations Research, 2018, 266, (1), 5-33 View citations (7)
    See also Working Paper Portfolio Diversification in the Sovereign Credit Swap Markets, Working Papers (2016) (2016)
13. Pricing and hedging GDP-linked bonds in incomplete markets
    Journal of Economic Dynamics and Control, 2018, 88, (C), 137-155 View citations (9)
    See also Working Paper Pricing and hedging GDP-linked bonds in incomplete markets, Working Papers (2018) View citations (8) (2018)
14. Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
    European Journal of Operational Research, 2018, 269, (2), 556-576 View citations (17)

2016

15. A parsimonious model for generating arbitrage-free scenario trees
    Quantitative Finance, 2016, 16, (2), 201-212 View citations (16)

2015

16. Designing and pricing guarantee options in defined contribution pension plans
    Insurance: Mathematics and Economics, 2015, 65, (C), 267-279 View citations (6)
17. Risk Management Optimization for Sovereign Debt Restructuring
    Journal of Globalization and Development, 2015, 6, (2), 181-213 View citations (12)
    See also Working Paper Risk Management Optimization for Sovereign Debt Restructuring, Working Papers (2014) View citations (7) (2014)
18. Risk profiles for re-profiling the sovereign debt of crisis countries
    Journal of Risk Finance, 2015, 16, (1), 2-26
    See also Working Paper Risk Profiles for Re-profiling the Sovereign Debt of Crisis Countries, Working Papers (2014) View citations (1) (2014)

2013

19. Does freedom lead to happiness? Economic growth and quality of life
    Global Business and Economics Review, 2013, 15, (2/3), 309-323 View citations (2)
20. The Cyprus Debt: Perfect Crisis and a Way Forward
    Cyprus Economic Policy Review, 2013, 7, (1), 3-45 View citations (12)
    See also Working Paper The Cyprus Debt: Perfect Crisis and a Way Forward, Working Papers (2013) View citations (13) (2013)

2011

21. Optimizing international portfolios with options and forwards
    Journal of Banking & Finance, 2011, 35, (12), 3188-3201 View citations (13)

2008

22. A dynamic stochastic programming model for international portfolio management
    European Journal of Operational Research, 2008, 185, (3), 1501-1524 View citations (29)
23. Asset and liability modelling for participating policies with guarantees
    European Journal of Operational Research, 2008, 186, (1), 380-404 View citations (13)
    See also Working Paper Asset and Liability Modeling for Participating Policies with Guarantees, Center for Financial Institutions Working Papers (2001) View citations (4) (2001)
24. Feature Cluster: Operational Research for Risk Management
    European Journal of Operational Research, 2008, 185, (3), 1402-1403
25. Pricing options on scenario trees
    Journal of Banking & Finance, 2008, 32, (2), 283-298 View citations (14)

2007

26. Credit risk optimization using factor models
    Annals of Operations Research, 2007, 152, (1), 49-77 View citations (12)
27. Is the Cyprus Pound Real Effective Exchange Rate Misaligned? A BEER Approach
    International Economic Journal, 2007, 21, (1), 133-154 View citations (2)
28. Scenario optimization asset and liability modelling for individual investors
    Annals of Operations Research, 2007, 152, (1), 167-191 View citations (9)
29. Stability analysis of portfolio management with conditional value-at-risk
    Quantitative Finance, 2007, 7, (4), 397-409 View citations (37)

2006

30. Asset and liability management for insurance products with minimum guarantees: The UK case
    Journal of Banking & Finance, 2006, 30, (2), 645-667 View citations (19)
31. Integrating market and credit risk: A simulation and optimisation perspective
    Journal of Banking & Finance, 2006, 30, (2), 717-742 View citations (15)
32. Risk Management in Emerging Markets: Practical Methodologies and Empirical Tests
    Multinational Finance Journal, 2006, 10, (3-4), 179-221 View citations (2)

2005

33. Estimation of asset demands by heterogeneous agents
    European Journal of Operational Research, 2005, 161, (2), 386-398
34. On the simulation of portfolios of interest rate and credit risk sensitive securities
    European Journal of Operational Research, 2005, 161, (2), 298-324 View citations (12)
35. Risk factor analysis and portfolio immunization in the corporate bond market
    European Journal of Operational Research, 2005, 161, (2), 348-363 View citations (8)
    See also Working Paper Risk Factor Analysis and Portfolio Immunization in the Corporate Bond Market, Center for Financial Institutions Working Papers (2000) View citations (1) (2000)

2004

36. Financial decision models in a dynamical setting
    Journal of Economic Dynamics and Control, 2004, 28, (5), 859-860
37. Scenario modelling for selective hedging strategies
    Journal of Economic Dynamics and Control, 2004, 28, (5), 955-974 View citations (3)
38. www.Personal_Asset_Allocation
    Interfaces, 2004, 34, (4), 287-302 View citations (3)

2003

39. High-performance computing for financial planning
    Journal of Economic Dynamics and Control, 2003, 27, (6), 907-908 View citations (1)
40. Insurance League: Italy vs. U.K
    Journal of Risk Finance, 2003, 4, (4), 47-54
41. Tracking bond indices in an integrated market and credit risk environment
    Quantitative Finance, 2003, 3, (2), 117-135 View citations (6)

2002

42. CVaR models with selective hedging for international asset allocation
    Journal of Banking & Finance, 2002, 26, (7), 1535-1561 View citations (36)

2001

43. The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios
    Journal of Risk Finance, 2001, 3, (1), 31-43
    See also Working Paper The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios, Center for Financial Institutions Working Papers (2001) View citations (11) (2001)
44. The Value of Integrative Risk Management for Insurance Products with Guarantees
    Journal of Risk Finance, 2001, 2, (3), 6-16 View citations (1)
    See also Working Paper The Value of Integrative Risk Management for Insurance Products with Guarantees, Center for Financial Institutions Working Papers (2001) View citations (11) (2001)

1999

45. Benchmarks of the Efficiency of Bank Branches
    Interfaces, 1999, 29, (3), 37-51 View citations (15)
46. Designing Portfolios of Financial Products via Integrated Simulation and Optimization Models
    Operations Research, 1999, 47, (2), 195-208 View citations (1)
47. Operations, Quality, and Profitability in the Provision of Banking Services
    Management Science, 1999, 45, (9), 1221-1238 View citations (70)
48. Scalable parallel computations forlarge-scale stochastic programming
    Annals of Operations Research, 1999, 90, 87-129 View citations (5)
49. Scenario modeling for the management ofinternational bond portfolios
    Annals of Operations Research, 1999, 85, 227-247 View citations (2)
    See also Working Paper Scenario Modeling for the Management of International Bond Portfolios, Center for Financial Institutions Working Papers (1998) View citations (4) (1998)
50. Using data envelopment analysis for costing bank products
    European Journal of Operational Research, 1999, 114, (2), 234-248 View citations (16)

1998

51. Dynamic models for fixed-income portfolio management under uncertainty
    Journal of Economic Dynamics and Control, 1998, 22, (10), 1517-1541 View citations (23)

1997

52. A model for designing callable bonds and its solution using tabu search
    Journal of Economic Dynamics and Control, 1997, 21, (8-9), 1445-1470 View citations (3)
53. Stochastic linear programs with restricted recourse
    European Journal of Operational Research, 1997, 101, (1), 177-192 View citations (10)

1996

54. Robust optimization models for managing callable bond portfolios
    European Journal of Operational Research, 1996, 91, (2), 264-273 View citations (10)

1995

55. A smooth penalty function algorithm for network-structured problems
    European Journal of Operational Research, 1995, 83, (1), 220-236 View citations (2)
56. A stochastic programming model for money management
    European Journal of Operational Research, 1995, 85, (2), 282-296 View citations (31)
57. Robust Optimization of Large-Scale Systems
    Operations Research, 1995, 43, (2), 264-281 View citations (319)
58. The Productivity of Financial Intermediation and the Technology of Financial Product Management
    Operations Research, 1995, 43, (6), 970-982 View citations (13)

1994

59. A Network Model to Maximize Navy Personnel Readiness and Its Solution
    Management Science, 1994, 40, (5), 647-661 View citations (2)
60. Capturing the Correlations of Fixed-income Instruments
    Management Science, 1994, 40, (10), 1329-1342 View citations (20)
61. Data-level parallel solution of min-cost network flow problems using [epsilon]-relaxations
    European Journal of Operational Research, 1994, 79, (3), 474-488 View citations (1)
62. Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
    Operations Research, 1994, 42, (2), 223-233 View citations (13)
63. Parallel and Supercomputing in the Practice of Management Science
    Interfaces, 1994, 24, (5), 122-140 View citations (2)

1993

64. A Massively Parallel Algorithm for Nonlinear Stochastic Network Problems
    Operations Research, 1993, 41, (2), 319-337 View citations (14)

1992

65. Complete Prepayment Models for Mortgage-Backed Securities
    Management Science, 1992, 38, (11), 1665-1685 View citations (17)

1991

66. Network based models for air-traffic control
    European Journal of Operational Research, 1991, 50, (2), 166-178 View citations (1)

1990

67. A Comparative Study of Algorithms for Matrix Balancing
    Operations Research, 1990, 38, (3), 439-455 View citations (43)

1989

68. OR Practice—Large-Scale Nonlinear Network Models and Their Application
    Operations Research, 1989, 37, (3), 353-372 View citations (3)

1986

69. Nonlinear Network Programming on Vector Supercomputers: A Study on the CRAY X-MP
    Operations Research, 1986, 34, (5), 667-682 View citations (1)

Edited books

2007

1. Handbook of Asset and Liability Management - Set
   Elsevier Monographs, Elsevier

1996

2. Financial Optimization
   Cambridge Books, Cambridge University Press View citations (2)

Chapters

2016

1. Self-fulfilling Prophecies in the Cyprus Crisis: ELA, PIMCO, and Delays
   Chapter 2 in THE CYPRUS BAIL-IN POLICY LESSONS FROM THE CYPRUS ECONOMIC CRISIS, 2016, pp 9-31 View citations (2)

2008

2. Controlling Currency Risk with Options or Forwards
   Springer

1996

3. Modeling languages in computational economics: Gams
   Chapter 10 in Handbook of Computational Economics, 1996, vol. 1, pp 471-488 View citations (3)