Stavros A. Zenios

University of Cyprus

Professor of Finance and Management Science

75 Kallipoleos Street

P.O. Box 20537

Nicosia CY-1678

Cyprus

http://https://www.researchgate.net/profile/Stavros_Zenios

Bruegel

Non-resident Fellow

Rue de la Charité 33

B-1210 Brussels Belgium, 1210

Belgium

University of Pennsylvania - Wharton Financial Institutions Center

Senior Fellow

3733 Spruce Street

Philadelphia, PA 19104-6374

United States

http://zenios.wordpress.com

  • University of Cyprus

    • Email
    • Tel: +357 2 893605

  • Bruegel

  • University of Pennsylvania - Wharton Financial Institutions Center

SCHOLARLY PAPERS

32

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SSRN RANKINGS

Top 9,272

in Total Papers Downloads

6,312

SSRN CITATIONS

20

CROSSREF CITATIONS

37

Ideas:
“  Sovereign debt risk management within a sustainability framework; Political stability and economic policy effects on international asset returns; Contingent debt for sovereigns.  ”

  • University of Cyprus

    • Email
    • Tel: +357 2 893605

  • Bruegel

  • University of Pennsylvania - Wharton Financial Institutions Center

Scholarly Papers (32)

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1.

The Cyprus Debt: Perfect Crisis and a Way Forward

Cyprus Economic Policy Review, Vol. 7, No. 1, pp. 3-45 (2013)
Posted: 16 Mar 2013 Last Revised: 03 Dec 2013
Stavros A. Zenios
University of Cyprus
Downloads 1,586 (13,829)
Citation 12

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financial crisis, debt overhang, banking crisis, competitiveness, labor cost, GDP-linked bonds, crisis management, Eurozone, Cyprus, Greece, Spain, Ireland

2.

Fairness and Reflexivity in the Cyprus Bail-In

Empirica, J. of European Economics, Published on line 4. Sept. 2015, The Wharton Financial Institutions Center Working Paper No. 14-04
Number of pages: 29 Posted: 16 Mar 2014 Last Revised: 09 Sep 2015
Stavros A. Zenios
University of Cyprus
Downloads 736 (42,437)
Citation 5

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financial crisis, banking crisis, depositor bail-in, risk management, neglected risks, eurozone, Cyprus, Greece

3.

Risk Management Optimization for Sovereign Debt Restructuring

Journal of Globalization and Development, Vol. 6(2), pp. 181–213, Feb. 2016., The Wharton School Financial Institutions Centre No. 14-10
Number of pages: 28 Posted: 11 Aug 2014 Last Revised: 22 May 2016
Andrea Consiglio and Stavros A. Zenios
University of Palermo - d/SEAS and University of Cyprus
Downloads 409 (88,649)
Citation 4

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sovereign debt, restructuring, scenario optimization, stochastic programming, Value-at-Risk, conditional Value-at-Risk, Greek crisis

4.

Was the Cyprus Crisis Banking or Sovereign Debt?

Journal of Banks and Bank Systems, Vol. 10, No. 2, pp. 23-34, 2015.
Number of pages: 24 Posted: 12 Dec 2014 Last Revised: 09 Sep 2015
Efrosyni Panayi and Stavros A. Zenios
University of Cyprus and University of Cyprus
Downloads 382 (95,954)
Citation 2

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eurozone crisis; early warning systems; banking crisis; sovereign crisis

5.

The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios

Journal of Risk Finance, pp. 31-43, Fall 2001
Number of pages: 13 Posted: 02 Sep 2001 Last Revised: 28 Oct 2015
Norbert J. Jobst and Stavros A. Zenios
Brunel University London and University of Cyprus
Downloads 380 (96,511)
Citation 2

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Credit risk, simulations, scenario analysis, conditional value at risk, optimization

6.

Global Political Risk and International Stock Returns

Number of pages: 71 Posted: 13 Sep 2018 Last Revised: 15 Jun 2021
Vito Gala, Giovanni Pagliardi and Stavros A. Zenios
Pacific Investment Management Company - PIMCO, BI Norwegian Business School and University of Cyprus
Downloads 358 (103,335)
Citation 3

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political uncertainty, policy uncertainty, international stock markets, asset pricing.

7.

Proposal to Address the Current Crisis in Cyprus

Number of pages: 3 Posted: 25 Mar 2013
Sofronis Clerides, Antonis A. Ellinas, Irene Karamanou, Alexander Michaelides, Andreas Milidonis, George Nishiotis, Costas Xiouros and Stavros A. Zenios
University of Cyprus, University of Cyprus - Department of Social and Political Sciences, University of Cyprus - Department of Public and Business Administration, Imperial College Business School, University of Cyprus - Department of Accounting and Finance, University of Cyprus-Faculty of Economics and Management-Department of Accounting and Finance, BI Norwegian Business School and University of Cyprus
Downloads 231 (163,005)
Citation 1

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Cyprus crisis, Cyprus bailout, insured deposits, deposit insurance

8.

Contingent convertible bonds for sovereign debt risk management

Journal of Globalization and Development, Vol. 9(1), 2018. https://doi.org/10.1515/jgd-2017-0011
Number of pages: 32 Posted: 26 Nov 2015 Last Revised: 22 May 2020
Andrea Consiglio and Stavros A. Zenios
University of Palermo - d/SEAS and University of Cyprus
Downloads 216 (173,819)
Citation 5

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Contingent debt, sovereign crises, CDS spreads, debt restructuring, pricing, risk management, banking

9.

Robust VaR and CVaR Optimization under Joint Ambiguity in Distributions, Means, and Covariances

To appear: European Journal of Operational Research
Number of pages: 38 Posted: 08 Apr 2016 Last Revised: 02 Feb 2018
Somayyeh Lotfi and Stavros A. Zenios
University of Cyprus - Department of Accounting and Finance and University of Cyprus
Downloads 176 (209,177)
Citation 3

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Data ambiguity, Coherent risk measures, Robust optimization, Value-at- risk, Conditional value-at-risk, Portfolio strategies, Scenarios, Eurozone crisis

10.

Risk Management for Sustainable Sovereign Debt Financing

Downloads 174 (211,246)
Citation 4

Risk Management for Sustainable Sovereign Debt Financing

Operations Research, published on line 18 Jan. 2021.
Number of pages: 44 Posted: 17 Sep 2018 Last Revised: 30 Mar 2021
Stavros A. Zenios, Andrea Consiglio, Marialena Athanasopoulou, Edmund Moshammer, Angel Gavilan Gonzalez and Aitor Erce
University of Cyprus, University of Palermo - d/SEAS, European Stability Mechanism, European Stability Mechanism, European Stability Mechanism and UPNA
Downloads 130 (268,941)
Citation 3

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sovereign debt, sustainability, debt financing, optimization, stochastic programming, scenario analysis, conditional value-at-risk, risk measures

Risk Management for Sovereign Debt Financing with Sustainability Conditions

Globalization and Monetary Policy Institute Working Paper No. 367
Number of pages: 49 Posted: 31 Oct 2019 Last Revised: 29 Apr 2020
Stavros A. Zenios, Andrea Consiglio, Marialena Athanasopoulou, Edmund Moshammer, Angel Gavilan and Aitor Erce
University of Cyprus, University of Palermo - d/SEAS, European Stability Mechanism, European Stability Mechanism, Banco de España and UPNA
Downloads 44 (504,263)

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sovereign debt, sustainability, debt financing, optimization, stochastic programming, scenario analysis, conditional Value-at-Risk, risk measures

11.

Designing and Pricing Guarantee Options in Defined Contribution Pension Plans

Insurance: Mathematics and Economics, Vol. 65, pp. 267–279, November 2015,
Number of pages: 30 Posted: 12 Feb 2015 Last Revised: 11 Dec 2015
Andrea Consiglio, Michele Tumminello and Stavros A. Zenios
University of Palermo - d/SEAS, University of Palermo and University of Cyprus
Downloads 159 (228,032)
Citation 1

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Pensions, minimum guarantee, defined benefits, defined contributions, embedded options, risk sharing, portfolio selection, stochastic programming

12.

Optimal Mortgage Loan Diversification

Wharton Financial Institutions Center Working Paper No. 08-12
Number of pages: 24 Posted: 17 Mar 2008 Last Revised: 28 Mar 2013
Kourosh Marjani Rasmussen and Stavros A. Zenios
Technical University of Denmark and University of Cyprus
Downloads 155 (232,968)

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Mortgage loans products, CVaR modeling, stochastic programming

13.

Risk Profiles for Re-Profiling the Sovereign Debt of Crisis Countries

Forthcoming in Journal of Risk Finance, The Wharton School Financial Institutions Centre Research Paper No. 14-14.
Number of pages: 22 Posted: 17 Sep 2014 Last Revised: 05 Jan 2016
Andrea Consiglio and Stavros A. Zenios
University of Palermo - d/SEAS and University of Cyprus
Downloads 140 (253,110)

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sovereign debt, sustainability, scenario analysis, Cyprus crisis, Italy, Ukrainian crisis, debt sanctions

14.

Pricing and Hedging GDP-Linked Bonds in Incomplete Markets

Downloads 131 (266,401)
Citation 2

Pricing and Hedging GDP-Linked Bonds in Incomplete Markets

Journal of Economic Dynamics and Control, Available online Jan. 5, 2018. DOI:10.1016/j.jedc.2018.01.001
Number of pages: 22 Posted: 11 May 2017 Last Revised: 08 Jan 2018
Andrea Consiglio and Stavros A. Zenios
University of Palermo - d/SEAS and University of Cyprus
Downloads 98 (329,007)

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contingent bonds, debt restructuring, asset pricing, incomplete markets, risk premium, stochastic programming, super-replication

Pricing and Hedging GDP-linked Bonds in Incomplete Markets

European Stability Mechanism Working Paper No. 29
Number of pages: 31 Posted: 23 Mar 2018
Andrea Consiglio and Stavros A. Zenios
University of Palermo - d/SEAS and University of Cyprus
Downloads 33 (561,394)
Citation 1

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Contingent bonds, debt restructuring, asset pricing, incomplete markets, risk premia, stochastic programming, super-replication

15.

A Parsimonious Model for Generating Arbitrage-Free Scenario Trees

Quantitative Finance (accepted May 2015), Forthcoming
Number of pages: 28 Posted: 02 Dec 2013 Last Revised: 26 Nov 2015
Andrea Consiglio, Angelo Carollo and Stavros A. Zenios
University of Palermo - d/SEAS, University of Palermo and University of Cyprus
Downloads 111 (300,335)
Citation 5

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scenario trees, decision making under uncertainty, global optimization, convex lower bounding, stochastic programming, pricing in incomplete markets

16.

Pricing Sovereign Contingent Convertible Debt

International journal of theoretical and applied finance, Vol. 1, no. 7, 2018
Number of pages: 32 Posted: 25 Jul 2016 Last Revised: 12 Jul 2021
Andrea Consiglio, Michele Tumminello and Stavros A. Zenios
University of Palermo - d/SEAS, University of Palermo and University of Cyprus
Downloads 105 (312,085)
Citation 6

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contingent bonds, sovereign debt, debt restructuring, state-contingent pricing, regime switching, credit default swaps

17.

Well Armed and Firm: Diversification of Mortgage Loans for Homeowners

Journal of Risk, Vol. 10(1), pp. 1--19, 2007
Number of pages: 22 Posted: 27 Jun 2006 Last Revised: 13 Oct 2015
Stavros A. Zenios and Kourosh Marjani Rasmussen
University of Cyprus and Technical University of Denmark
Downloads 99 (324,498)
Citation 1

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Mortgages, risk management, Conditional Value-at-Risk, optimization

18.

Portfolio Diversification in the Sovereign Credit Swap Markets

Annals of Operation Research, Forthcoming
Number of pages: 35 Posted: 08 Aug 2016 Last Revised: 03 Aug 2017
Andrea Consiglio, Somayyeh Lotfi and Stavros A. Zenios
University of Palermo - d/SEAS, University of Cyprus - Department of Accounting and Finance and University of Cyprus
Downloads 82 (364,953)
Citation 2

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Credit derivatives, portfolio diversification, Eurozone crisis, CDS spreads, Conditional Value-at-Risk, regime switching

19.

Does Freedom Lead to Happiness? Economic Growth and Quality of Life

Global Business and Economics Review, Vol. 15, Nos. 2/3, 2013
Number of pages: 15 Posted: 21 May 2013
Nina Gorovaia and Stavros A. Zenios
Frederick University and University of Cyprus
Downloads 72 (392,933)

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instrumental freedoms, economics of happiness, economic growth, quality of life

20.

Integrated Dynamic Models for Hedging International Portfolio Risks

Number of pages: 37 Posted: 18 Mar 2018
Nikolas Topaloglou, Hercules Vladimirou and Stavros A. Zenios
Athens University of Economics and Business, University of Cyprus and University of Cyprus
Downloads 71 (395,962)

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Stochastic Programming, International Portfolios, Currency Hedging, Selective Hedging, Eurozone Crisis, Options Pricing

21.

Asset and Liability Modeling for Participating Policies with Guarantees

European Journal of Operational Research 186 (2008) 380–404
Number of pages: 26 Posted: 18 Dec 2000 Last Revised: 19 Nov 2013
Andrea Consiglio, Flavio Cocco and Stavros A. Zenios
Università degli Studi della Calabria, Prometeia Calcolo and University of Cyprus
Downloads 71 (395,962)

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Asset and liability modeling, insurance products, minimum guarantee policies

22.

Innovation in Times of Financial Crises

The Wharton School Research Paper No. 13-31
Number of pages: 20 Posted: 17 Nov 2013
Nina Gorovaia and Stavros A. Zenios
Frederick University and University of Cyprus
Downloads 66 (411,742)

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Innovation, economic growth, economic crises, financial crises, patents, innovation lag.

23.

Scenario Modeling of Selective Hedging Strategies

Journal of Economic Dynamics and Control, Vol. 28, No. 5, 2004
Number of pages: 20 Posted: 19 Nov 2013 Last Revised: 21 Nov 2013
Andrea Beltratti and Stavros A. Zenios
Bocconi University - Department of Finance and University of Cyprus
Downloads 65 (414,989)

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Scenario, Currency hedging, Transaction costs, Optimization, International asset management

24.

Risk Management in Emerging Markets: Practical Methodologies and Empirical Tests

Multinational Finance Journal, Vol. 10, No. 3/4, p. 179–221, 2006
Number of pages: 43 Posted: 30 Jun 2015
Marios Nerouppos, David Saunders, Costas Xiouros and Stavros A. Zenios
Cyprus International Institute of Management (CIIM), affiliation not provided to SSRN, BI Norwegian Business School and University of Cyprus
Downloads 57 (442,800)

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risk management; historical simulation; value-at-risk; emerging markets

25.

Stochastic Debt Sustainability Analysis for Sovereigns and the Scope for Optimization Modeling

Optimization and Engineering, Forthcoming, The Wharton School Research Paper No. 17-07
Number of pages: 20 Posted: 12 May 2017 Last Revised: 20 Oct 2018
Andrea Consiglio and Stavros A. Zenios
Università degli Studi della Calabria and University of Cyprus
Downloads 53 (457,589)

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Sovereign debt, sustainability analysis, risk management, stochastic programming, scenarios, VaR, CVaR

26.

GDP-Linked Bonds as a New Asset Class

Number of pages: 40 Posted: 22 Jun 2020
Ellie Papavassiliou, Nikolas Topaloglou and Stavros A. Zenios
Athens University of Economics and Business - Department of International and European Economic Studies, Athens University of Economics and Business and University of Cyprus
Downloads 48 (477,379)

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Stochastic Spanning, Contingent Debt, Risk Premium, Diversification

27.

Neglected Risk: Evidence from the Eurozone Sovereign Credit Market

Number of pages: 74 Posted: 13 Feb 2020 Last Revised: 30 Mar 2021
Somayyeh Lotfi, Andreas Milidonis and Stavros A. Zenios
University of Cyprus - Department of Accounting and Finance, University of Cyprus - Department of Accounting and Finance and University of Cyprus
Downloads 42 (503,494)

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CDS spreads, risk premia, debt expansion, sovereign debt, Quantitative easing.

28.

Optimizing International Portfolios with Options and Forwards

Journal of Banking and Finance, Vol. 35, No. 12, 2010
Number of pages: 14 Posted: 09 Jun 2004 Last Revised: 21 Aug 2014
Nikolas Topaloglou, Hercules Vladimirou and Stavros A. Zenios
University of Cyprus - HERMES European Center of Excellence on Computational Finance and Economics, University of Cyprus and University of Cyprus
Downloads 39 (517,541)
Citation 1

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29.

State Contingent Debt as Insurance for Euro-Area Sovereigns

Journal of Financial Regulation, Oxford University Press (Forthcoming)
Number of pages: 28 Posted: 16 May 2018 Last Revised: 16 Apr 2019
Maria Demertzis and Stavros A. Zenios
Bruegel and University of Cyprus
Downloads 33 (547,910)
Citation 1

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sovereign debt, euro-zone, financial crisis, insurance, contingent contracts, GDP-linked bonds, Sovereign CoCo

30.

Managing Political Risk in International Portfolios

Number of pages: 69 Posted: 24 Jul 2021
Giovanni Pagliardi, Somayyeh Lotfi, Efstathios Paparoditis and Stavros A. Zenios
BI Norwegian Business School, University of Cyprus - Department of Accounting and Finance, University of Cyprus - Department of Mathematics and Statistics and University of Cyprus
Downloads 31 (558,647)

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Hedging, political uncertainty, economic policy uncertainty, equities, international diversification, conditional Value-at-Risk, portfolio optimization.

31.

Searching for the Value of Quality in Financial Services

Wharton Financial Institutions Center Working Paper No. 00-39
Number of pages: 34 Posted: 11 Jan 2001 Last Revised: 21 Aug 2014
Andreas C. Soteriou and Stavros A. Zenios
University of Cyprus and University of Cyprus
Downloads 23 (608,361)

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Quality, event studies, financial performance, service sector, financial institutions

32.

The risks from climate change to sovereign debt in Europe

Number of pages: 24 Posted: 24 Jul 2021
Stavros A. Zenios
University of Cyprus
Downloads 11 (695,021)

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climate change; sovereign debt; sustainability; adaptation; mitigation; integrated assessment models.