EconPapers    
Economics at your fingertips  
 

Details about Stavros A. Zenios

E-mail:
Homepage:http://zenios.wordpress.com
Phone:+35722893605
Postal address:about.me/Zenios
Workplace:Department of Accounting and Finance, Faculty of Economics and Management, University of Cyprus, (more information at EDIRC)
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)

Access statistics for papers by Stavros A. Zenios.

Last updated 2019-05-19. Update your information in the RePEc Author Service.

Short-id: pas152


Jump to Journal Articles Edited books Chapters

Working Papers

2019

  1. Risk Management for Sovereign Debt Financing with Sustainability Conditions
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas Downloads

2018

  1. Pricing and hedging GDP-linked bonds in incomplete markets
    Working Papers, European Stability Mechanism Downloads View citations (1)
    Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2017) View citations (2)

    See also Journal Article in Journal of Economic Dynamics and Control (2018)
  2. Pricing sovereign contingent convertible debt
    Papers, arXiv.org Downloads View citations (3)
    Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2016) Downloads View citations (1)

    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2018)
  3. Risk management for sovereign financing within a debt sustainability framework
    Working Papers, European Stability Mechanism Downloads View citations (1)
  4. State contingent debt as insurance for euro-area sovereigns
    Working Papers, Bruegel Downloads View citations (1)

2016

  1. Portfolio Diversification in the Sovereign Credit Swap Markets
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads
    See also Journal Article in Annals of Operations Research (2018)

2015

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

2014

  1. Fairness and Reflexivity in the Cyprus Bail-In
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads View citations (4)
  2. Generating Multi-factor Arbitrage-Free Scenario Trees with Global Optimization
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads View citations (1)
  3. Risk Management Optimization for Sovereign Debt Restructuring
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads View citations (4)
    See also Journal Article in Journal of Globalization and Development (2015)
  4. Risk Profiles for Re-profiling the Sovereign Debt of Crisis Countries
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads View citations (1)
    See also Journal Article in Journal of Risk Finance (2015)

2013

  1. The Cyprus Debt: Perfect Crisis and a Way Forward
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads View citations (9)
    See also Journal Article in Cyprus Economic Policy Review (2013)

2006

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

2002

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

2001

  1. Asset and Liability Modeling for Participating Policies with Guarantees
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (2)
    See also Journal Article in European Journal of Operational Research (2008)
  2. 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 Downloads View citations (4)
  3. 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 Downloads View citations (10)
  4. 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 Downloads View citations (6)

2000

  1. 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 Downloads View citations (1)
    See also Journal Article in European Journal of Operational Research (2005)
  2. Searching for the Value of Quality in Financial Services
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (4)

1999

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

1998

  1. Scenario Modeling for the Management of International Bond Portfolios
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (5)
    See also Journal Article in Annals of Operations Research (1999)
  2. What Drives the Performance of Financial Institutions?
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (10)

1997

  1. 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 Downloads View citations (7)

Undated

  1. Efficiency, Profitability and Quality of Banking Services
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (2)

Journal Articles

2018

  1. Contingent Convertible Bonds for Sovereign Debt Risk Management
    Journal of Globalization and Development, 2018, 9, (1), 24 Downloads
  2. PRICING SOVEREIGN CONTINGENT CONVERTIBLE DEBT
    International Journal of Theoretical and Applied Finance (IJTAF), 2018, 21, (08), 1-36 Downloads
    Also in Journal of Enterprising Culture (JEC), 2018, 21, (08), 1-36 (2018) Downloads

    See also Working Paper (2018)
  3. Portfolio diversification in the sovereign credit swap markets
    Annals of Operations Research, 2018, 266, (1), 5-33 Downloads View citations (2)
    See also Working Paper (2016)
  4. Pricing and hedging GDP-linked bonds in incomplete markets
    Journal of Economic Dynamics and Control, 2018, 88, (C), 137-155 Downloads View citations (2)
    See also Working Paper (2018)
  5. Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
    European Journal of Operational Research, 2018, 269, (2), 556-576 Downloads View citations (1)

2016

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

2015

  1. Designing and pricing guarantee options in defined contribution pension plans
    Insurance: Mathematics and Economics, 2015, 65, (C), 267-279 Downloads View citations (1)
  2. Risk Management Optimization for Sovereign Debt Restructuring
    Journal of Globalization and Development, 2015, 6, (2), 181-213 Downloads View citations (5)
    See also Working Paper (2014)
  3. Risk profiles for re-profiling the sovereign debt of crisis countries
    Journal of Risk Finance, 2015, 16, (1), 2-26 Downloads
    See also Working Paper (2014)

2013

  1. Does freedom lead to happiness? Economic growth and quality of life
    Global Business and Economics Review, 2013, 15, (2/3), 309-323 Downloads View citations (1)
  2. The Cyprus Debt: Perfect Crisis and a Way Forward
    Cyprus Economic Policy Review, 2013, 7, (1), 3-45 Downloads View citations (9)
    See also Working Paper (2013)

2011

  1. Optimizing international portfolios with options and forwards
    Journal of Banking & Finance, 2011, 35, (12), 3188-3201 Downloads View citations (5)

2008

  1. A dynamic stochastic programming model for international portfolio management
    European Journal of Operational Research, 2008, 185, (3), 1501-1524 Downloads View citations (17)
  2. Asset and liability modelling for participating policies with guarantees
    European Journal of Operational Research, 2008, 186, (1), 380-404 Downloads View citations (11)
    See also Working Paper (2001)
  3. Feature Cluster: Operational Research for Risk Management
    European Journal of Operational Research, 2008, 185, (3), 1402-1403 Downloads
  4. Pricing options on scenario trees
    Journal of Banking & Finance, 2008, 32, (2), 283-298 Downloads View citations (11)

2007

  1. Credit risk optimization using factor models
    Annals of Operations Research, 2007, 152, (1), 49-77 Downloads View citations (5)
  2. Is the Cyprus Pound Real Effective Exchange Rate Misaligned? A BEER Approach
    International Economic Journal, 2007, 21, (1), 133-154 Downloads View citations (1)
  3. Scenario optimization asset and liability modelling for individual investors
    Annals of Operations Research, 2007, 152, (1), 167-191 Downloads View citations (6)
  4. Stability analysis of portfolio management with conditional value-at-risk
    Quantitative Finance, 2007, 7, (4), 397-409 Downloads View citations (20)

2006

  1. Asset and liability management for insurance products with minimum guarantees: The UK case
    Journal of Banking & Finance, 2006, 30, (2), 645-667 Downloads View citations (16)
  2. Integrating market and credit risk: A simulation and optimisation perspective
    Journal of Banking & Finance, 2006, 30, (2), 717-742 Downloads View citations (11)
  3. Risk Management in Emerging Markets: Practical Methodologies and Empirical Tests
    Multinational Finance Journal, 2006, 10, (3-4), 179-221 Downloads View citations (2)

2005

  1. Estimation of asset demands by heterogeneous agents
    European Journal of Operational Research, 2005, 161, (2), 386-398 Downloads
  2. On the simulation of portfolios of interest rate and credit risk sensitive securities
    European Journal of Operational Research, 2005, 161, (2), 298-324 Downloads View citations (11)
  3. Risk factor analysis and portfolio immunization in the corporate bond market
    European Journal of Operational Research, 2005, 161, (2), 348-363 Downloads View citations (7)
    See also Working Paper (2000)

2004

  1. Financial decision models in a dynamical setting
    Journal of Economic Dynamics and Control, 2004, 28, (5), 859-860 Downloads
  2. Scenario modelling for selective hedging strategies
    Journal of Economic Dynamics and Control, 2004, 28, (5), 955-974 Downloads View citations (1)
  3. www.Personal_Asset_Allocation
    Interfaces, 2004, 34, (4), 287-302 Downloads View citations (2)

2003

  1. High-performance computing for financial planning
    Journal of Economic Dynamics and Control, 2003, 27, (6), 907-908 Downloads View citations (1)
  2. Tracking bond indices in an integrated market and credit risk environment
    Quantitative Finance, 2003, 3, (2), 117-135 Downloads View citations (4)

2002

  1. CVaR models with selective hedging for international asset allocation
    Journal of Banking & Finance, 2002, 26, (7), 1535-1561 Downloads View citations (24)

1999

  1. Benchmarks of the Efficiency of Bank Branches
    Interfaces, 1999, 29, (3), 37-51 Downloads View citations (3)
  2. Designing Portfolios of Financial Products via Integrated Simulation and Optimization Models
    Operations Research, 1999, 47, (2), 195-208 Downloads View citations (1)
  3. Operations, Quality, and Profitability in the Provision of Banking Services
    Management Science, 1999, 45, (9), 1221-1238 Downloads View citations (55)
  4. Scalable parallel computations forlarge-scale stochastic programming
    Annals of Operations Research, 1999, 90, 87-129 Downloads View citations (5)
  5. Scenario modeling for the management ofinternational bond portfolios
    Annals of Operations Research, 1999, 85, 227-247 Downloads View citations (3)
    See also Working Paper (1998)
  6. Using data envelopment analysis for costing bank products
    European Journal of Operational Research, 1999, 114, (2), 234-248 Downloads View citations (13)

1998

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

1997

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

1996

  1. Robust optimization models for managing callable bond portfolios
    European Journal of Operational Research, 1996, 91, (2), 264-273 Downloads View citations (7)

1995

  1. A smooth penalty function algorithm for network-structured problems
    European Journal of Operational Research, 1995, 83, (1), 220-236 Downloads View citations (2)
  2. A stochastic programming model for money management
    European Journal of Operational Research, 1995, 85, (2), 282-296 Downloads View citations (25)
  3. Robust Optimization of Large-Scale Systems
    Operations Research, 1995, 43, (2), 264-281 Downloads View citations (67)
  4. The Productivity of Financial Intermediation and the Technology of Financial Product Management
    Operations Research, 1995, 43, (6), 970-982 Downloads View citations (5)

1994

  1. A Network Model to Maximize Navy Personnel Readiness and Its Solution
    Management Science, 1994, 40, (5), 647-661 Downloads View citations (2)
  2. Capturing the Correlations of Fixed-income Instruments
    Management Science, 1994, 40, (10), 1329-1342 Downloads View citations (16)
  3. Data-level parallel solution of min-cost network flow problems using [epsilon]-relaxations
    European Journal of Operational Research, 1994, 79, (3), 474-488 Downloads View citations (1)
  4. Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
    Operations Research, 1994, 42, (2), 223-233 Downloads View citations (3)
  5. Parallel and Supercomputing in the Practice of Management Science
    Interfaces, 1994, 24, (5), 122-140 Downloads View citations (1)

1993

  1. A Massively Parallel Algorithm for Nonlinear Stochastic Network Problems
    Operations Research, 1993, 41, (2), 319-337 Downloads View citations (1)

1992

  1. Complete Prepayment Models for Mortgage-Backed Securities
    Management Science, 1992, 38, (11), 1665-1685 Downloads View citations (12)
  2. Massively Parallel Algorithms for Singly Constrained Convex Programs
    INFORMS Journal on Computing, 1992, 4, (2), 166-181 Downloads View citations (1)
  3. Parallel Decomposition of Multicommodity Network Flows Using a Linear-Quadratic Penalty Algorithm
    INFORMS Journal on Computing, 1992, 4, (3), 235-249 Downloads View citations (3)

1991

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

1990

  1. A Comparative Study of Algorithms for Matrix Balancing
    Operations Research, 1990, 38, (3), 439-455 Downloads View citations (13)
  2. Matrix Balancing on a Massively Parallel Connection Machine
    INFORMS Journal on Computing, 1990, 2, (2), 112-125 Downloads

1989

  1. OR Practice—Large-Scale Nonlinear Network Models and Their Application
    Operations Research, 1989, 37, (3), 353-372 Downloads View citations (3)
  2. Parallel Numerical Optimization: Current Status and an Annotated Bibliography
    INFORMS Journal on Computing, 1989, 1, (1), 20-43 Downloads

1986

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

Edited books

2007

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

2000

  1. Performance of Financial Institutions
    Cambridge Books, Cambridge University Press View citations (3)

1996

  1. 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 Downloads

1996

  1. Modeling languages in computational economics: Gams
    Chapter 10 in Handbook of Computational Economics, 1996, vol. 1, pp 471-488 Downloads View citations (1)
 
Page updated 2019-10-13