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

Cyprus Academy of Sciences, Letters, and Arts

Nicosia

Cyprus

SCHOLARLY PAPERS

34

DOWNLOADS
Rank 9,301

SSRN RANKINGS

Top 9,301

in Total Papers Downloads

7,352

SSRN CITATIONS

21

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.  ”

Scholarly Papers (34)

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 1,689 (15,056)
Citation 12

Abstract:

Loading...

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 777 (46,206)
Citation 5

Abstract:

Loading...

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

3.

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
Morningstar Investment Management, BI Norwegian Business School and University of Cyprus
Downloads 456 (90,786)
Citation 3

Abstract:

Loading...

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

4.

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 423 (99,087)
Citation 4

Abstract:

Loading...

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

5.

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 405 (104,139)
Citation 2

Abstract:

Loading...

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

6.

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 383 (111,083)
Citation 2

Abstract:

Loading...

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

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
University of Cyprus, University of Palermo - d/SEAS, European Stability Mechanism, European Stability Mechanism, European Stability Mechanism and UPNA
Downloads 161 (259,016)
Citation 4

Abstract:

Loading...

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 Institute Working Paper No. 367
Number of pages: 49 Posted: 31 Oct 2019 Last Revised: 29 Apr 2020
University of Cyprus, University of Palermo - d/SEAS, European Stability Mechanism, European Stability Mechanism, Banco de España and UPNA
Downloads 97 (377,752)

Abstract:

Loading...

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

8.

Proposal to Address the Current Crisis in Cyprus

Number of pages: 3 Posted: 25 Mar 2013
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 237 (182,971)
Citation 1

Abstract:

Loading...

Cyprus crisis, Cyprus bailout, insured deposits, deposit insurance

9.

The Risks from Climate Change to Sovereign Debt

Climatic Change (Forthcoming)
Number of pages: 31 Posted: 24 Jul 2021 Last Revised: 16 May 2022
Stavros A. Zenios
University of Cyprus
Downloads 227 (190,636)
Citation 1

Abstract:

Loading...

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

10.

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 226 (191,425)
Citation 5

Abstract:

Loading...

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

11.

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 191 (223,435)
Citation 3

Abstract:

Loading...

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

12.

Hedging political risk in international equity portfolios

Number of pages: 60 Posted: 24 Jul 2021 Last Revised: 03 Jun 2022
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 188 (226,518)

Abstract:

Loading...

Hedging, political risk, international diversification, equities markets, conditional Value-at-Risk, portfolio optimization.

13.

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 164 (254,463)

Abstract:

Loading...

Mortgage loans products, CVaR modeling, stochastic programming

14.

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 162 (257,215)
Citation 1

Abstract:

Loading...

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

15.

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 143 (284,374)

Abstract:

Loading...

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

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: 11 Oct 2021
Andrea Consiglio and Stavros A. Zenios
University of Palermo - d/SEAS and University of Cyprus
Downloads 105 (358,427)

Abstract:

Loading...

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 37 (611,129)
Citation 1

Abstract:

Loading...

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

17.

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 117 (330,430)
Citation 5

Abstract:

Loading...

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

18.

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 107 (351,557)
Citation 6

Abstract:

Loading...

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

19.

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 100 (367,800)
Citation 1

Abstract:

Loading...

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

GDP-Linked Bonds as a New Asset Class

Number of pages: 40 Posted: 22 Jun 2020 Last Revised: 08 Dec 2021
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 68 (466,365)

Abstract:

Loading...

Stochastic Spanning, Contingent Debt, Risk Premium, Diversification

GDP-Linked Bonds as a New Asset Class

Number of pages: 48 Posted: 29 Nov 2021
Nikolas Topaloglou, Ellie Papavassiliou and Stavros A. Zenios
Athens University of Economics and Business, Athens University of Economics and Business - Department of International and European Economic Studies and University of Cyprus
Downloads 22 (719,579)

Abstract:

Loading...

stochastic spanning, contingent debt, risk premium, diversification

21.

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 84 (409,503)
Citation 2

Abstract:

Loading...

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

22.

Financial Education and Spillover Effects

Number of pages: 33 Posted: 03 May 2022 Last Revised: 15 Jul 2022
University of Cyprus-School of Economics and Management- Department of Accounting and Finance, University of Cyprus - Department of Accounting and Finance, University of Cyprus-Faculty of Economics and Management-Department of Accounting and Finance and University of Cyprus
Downloads 79 (424,468)

Abstract:

Loading...

Financial Education, Financial Literacy, Spillover, University course

23.

Integrated Dynamic Models for Hedging International Portfolio Risks

Number of pages: 42 Posted: 18 Mar 2018 Last Revised: 08 Sep 2022
Nikolas Topaloglou, Hercules Vladimirou and Stavros A. Zenios
Athens University of Economics and Business, University of Cyprus and University of Cyprus
Downloads 78 (427,601)

Abstract:

Loading...

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

24.

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 74 (440,200)

Abstract:

Loading...

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

25.

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 73 (443,468)

Abstract:

Loading...

Asset and liability modeling, insurance products, minimum guarantee policies

26.

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
Cyprus International Institute of Management (CIIM), affiliation not provided to SSRN, BI Norwegian Business School and University of Cyprus
Downloads 71 (450,112)

Abstract:

Loading...

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

27.

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 71 (450,112)

Abstract:

Loading...

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

28.

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 68 (460,441)

Abstract:

Loading...

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

29.

Neglected Risk: Evidence from the Eurozone Sovereign Credit Market

Number of pages: 75 Posted: 13 Feb 2020 Last Revised: 01 Feb 2022
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 58 (498,182)

Abstract:

Loading...

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

30.

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 57 (502,103)

Abstract:

Loading...

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

31.

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 57 (502,103)
Citation 1

Abstract:

Loading...

32.

Risk Management for Auditing Public Debt

Number of pages: 32 Posted: 07 Jun 2022 Last Revised: 10 Jul 2022
University of Palermo - d/SEAS, Government of the Republic of Cyprus, Audit Office of the Republic of Cyprus and University of Cyprus
Downloads 38 (603,108)

Abstract:

Loading...

Debt sustainability analysis; sovereign debt; performance audit; risk management; debt financing; climate risk

33.

State Contingent Debt as Insurance for Euro-Area Sovereigns

Journal of Financial Regulation, 5(1):64-90, 2019, Oxford University Press,
Number of pages: 28 Posted: 16 May 2018 Last Revised: 13 Sep 2021
Maria Demertzis and Stavros A. Zenios
Bruegel and University of Cyprus
Downloads 35 (608,829)
Citation 1

Abstract:

Loading...

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

34.

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 24 (682,119)

Abstract:

Loading...

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