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

  • University of Cyprus

    • Email
    • Tel: +357 2 893605

  • Bruegel

  • University of Pennsylvania - Wharton Financial Institutions Center

  • Cyprus Academy of Sciences, Letters, and Arts

SCHOLARLY PAPERS

36

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SSRN RANKINGS

Top 9,112

in Total Papers Downloads

9,041

SSRN CITATIONS

49

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

  • Cyprus Academy of Sciences, Letters, and Arts

Scholarly Papers (36)

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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 1,837 (15,601)
Citation 13

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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 825 (50,282)
Citation 6

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

3.

Global Political Risk and International Stock Returns

Journal of Empirical Finance (2023), Vol. 72, pp.78-102.
Number of pages: 71 Posted: 13 Sep 2018 Last Revised: 20 Aug 2023
Vito D. Gala, Giovanni Pagliardi and Stavros A. Zenios
Morningstar Investment Management LLC, BI Norwegian Business School and University of Cyprus
Downloads 525 (89,910)
Citation 3

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

4.

Unconventional Monetary Policy and Debt Sustainability in Japan

Journal of Japanese and International Economies, Volume 69, September 2023.
Number of pages: 27 Posted: 26 Jun 2023 Last Revised: 04 Aug 2023
Enrique Alberola, Gong Cheng, Andrea Consiglio and Stavros A. Zenios
Bank of Spain- International Dept, Bank for International Settlements (BIS), University of Palermo - d/SEAS and University of Cyprus
Downloads 518 (91,439)

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Debt sustainability analysis; risk management; Quantitative Easing; Yield Curve Control; Unconventional monetary policy; CVaR optimisation.

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 449 (108,527)
Citation 2

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

6.

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 435 (112,641)
Citation 4

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

7.

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 402 (123,475)
Citation 2

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

8.

Risk Management for Sustainable Sovereign Debt Financing

Downloads 369 (136,074)
Citation 10

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: 25 Jun 2023
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 222 (228,583)
Citation 8

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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 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 147 (329,619)

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

9.

The Risks from Climate Change to Sovereign Debt

Climatic Change 172 (30)
Number of pages: 31 Posted: 24 Jul 2021 Last Revised: 03 Aug 2023
Stavros A. Zenios
University of Cyprus
Downloads 276 (184,340)
Citation 6

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

10.

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 250 (204,413)
Citation 1

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Cyprus crisis, Cyprus bailout, insured deposits, deposit insurance

11.

Hedging Political Risk in International Equity Portfolios

Number of pages: 60 Posted: 24 Jul 2021 Last Revised: 28 Mar 2023
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 239 (213,537)

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

12.

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 238 (214,353)
Citation 5

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

13.

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 209 (242,461)
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

14.

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 185 (270,819)

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Mortgage loans products, CVaR modeling, stochastic programming

15.

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 180 (277,298)
Citation 1

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

16.

Financial Education and Spillover Effects

Number of pages: 33 Posted: 03 May 2022 Last Revised: 15 Jul 2022
Theodosis L. Kallenos, Andreas Milidonis, George Nishiotis and Stavros A. Zenios
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 173 (288,559)

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Financial Education, Financial Literacy, Spillover, University course

17.

Pricing and Hedging GDP-Linked Bonds in Incomplete Markets

Downloads 163 (301,972)
Citation 5

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 117 (393,447)
Citation 5

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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 46 (677,500)
Citation 1

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

18.

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 148 (327,310)

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

19.

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 140 (342,132)
Citation 5

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

20.

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 131 (362,195)
Citation 6

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

21.

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 113 (404,214)

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

22.

Auditing Public Debt using Risk Management

INFORMS Journal of Applied Analytics (in print)
Number of pages: 35 Posted: 07 Jun 2022 Last Revised: 11 Jan 2023
Andrea Consiglio, Akis Kikas, Odysseas Michaelides and Stavros A. Zenios
University of Palermo - d/SEAS, Government of the Republic of Cyprus, Audit Office of the Republic of Cyprus and University of Cyprus
Downloads 110 (409,573)

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

23.

GDP-Linked Bonds as a New Asset Class

Downloads 101 (435,029)

GDP-Linked Bonds as a New Asset Class

Number of pages: 40 Posted: 22 Jun 2020 Last Revised: 08 Nov 2022
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 75 (529,096)

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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 26 (827,888)

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stochastic spanning, contingent debt, risk premium, diversification

24.

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 100 (438,043)
Citation 1

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

25.

Debt Sustainability and Monetary Policy: The Case of ECB Asset Purchases

Number of pages: 37 Posted: 14 Nov 2022
Enrique Alberola, Gong Cheng, Andrea Consiglio and Stavros A. Zenios
Bank of Spain- International Dept, Bank for International Settlements (BIS), University of Palermo - d/SEAS and University of Cyprus
Downloads 98 (444,024)

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Debt sustainability analysis, risk management, unconventional monetary policy, monetary-fiscal mix, PEPP, CVaR optimization

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
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 96 (449,979)

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

27.

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 93 (459,387)
Citation 2

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

28.

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 87 (478,857)

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

29.

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 83 (492,781)

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

30.

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 81 (500,057)

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

31.

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 81 (500,057)

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Asset and liability modeling, insurance products, minimum guarantee policies

32.

Mispricing of debt expansion in the eurozone sovereign credit market

Number of pages: 84 Posted: 13 Feb 2020 Last Revised: 24 Feb 2023
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 73 (530,859)

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

33.

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 72 (534,928)
Citation 1

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

34.

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 72 (534,928)
Citation 1

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35.

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 50 (639,722)
Citation 1

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

36.

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 39 (706,507)

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