Andrea Consiglio

University of Palermo - d/SEAS

Professor

Viale delle Scienze, edificio 13

Palermo, 90124

Italy

http://portale.unipa.it/persone/docenti/c/andrea.consiglio

SCHOLARLY PAPERS

15

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1,907

SSRN CITATIONS
Rank 26,988

SSRN RANKINGS

Top 26,988

in Total Papers Citations

8

CROSSREF CITATIONS

18

Scholarly Papers (15)

1.

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 382 (79,194)
Citation 2

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

2.

Contingent convertible bonds for sovereign debt risk management

The Wharton Financial Institutions Center WP 15-13, in print Journal of Globalization and Development.
Number of pages: 32 Posted: 26 Nov 2015 Last Revised: 20 Oct 2018
Andrea Consiglio and Stavros A. Zenios
University of Palermo - d/SEAS and University of Cyprus
Downloads 204 (153,612)
Citation 3

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

Pricing the Option to Surrender in Incomplete Markets

University of Palermo Statistics and Mathematics Working Paper No. 07-03
Number of pages: 22 Posted: 31 Mar 2007
Andrea Consiglio and Domenico De Giovanni
University of Palermo - d/SEAS and University of Palermo
Downloads 194 (160,882)

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Life insurance, Policies with minimum guarantee, Option pricing, Incomplete markets, Surrender options

Pricing the Option to Surrender in Incomplete Markets

Journal of Risk and Insurance, Vol. 77, Issue 4, pp. 935-957, December 2010
Number of pages: 23 Posted: 16 Nov 2010
Andrea Consiglio and Domenico DeGiovanni
University of Palermo - d/SEAS and Aarhus University - School of Business and Social Sciences
Downloads 2 (689,105)
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4.

Simulating Term Structure of Interest Rates with Arbitrary Marginals

Number of pages: 16 Posted: 11 May 2007
Andrea Consiglio
University of Palermo - d/SEAS
Downloads 195 (160,271)

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Simulation, Term structure of interest rates, Autoregressive models, Fat tailed distributions

5.

A Stochastic Programming Model for the Optimal Issuance of Government Bonds

Number of pages: 15 Posted: 06 Oct 2008 Last Revised: 18 Sep 2014
Andrea Consiglio and Alessandro Staino
University of Palermo - d/SEAS and University of Palermo - Dipartimento di Scienze Statistiche e Matematiche
Downloads 153 (198,109)
Citation 4

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Stochastic Programming, Sovereign debt, Optimal Debt Issuance

6.

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 152 (199,204)
Citation 1

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

7.

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 134 (220,734)

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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: 08 Jan 2018
Andrea Consiglio and Stavros A. Zenios
University of Palermo - d/SEAS and University of Cyprus
Downloads 82 (312,460)

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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 30 (494,204)

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

9.

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 104 (265,813)
Citation 4

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

10.

Pricing Sovereign Contingent Convertible Debt

The Wharton Financial Institutions Center WP 16-05
Number of pages: 32 Posted: 25 Jul 2016 Last Revised: 17 Apr 2018
Andrea Consiglio, Michele Tumminello and Stavros A. Zenios
University of Palermo - d/SEAS, University of Palermo and University of Cyprus
Downloads 100 (273,077)
Citation 6

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

Risk Management for Sovereign Debt Financing with Sustainability Conditions

Federal Reserve Bank of Dallas Globalization Institute Working Paper 367, and European Stability Mechanism Working Paper 31 (Revised)
Number of pages: 49 Posted: 17 Sep 2018 Last Revised: 29 Aug 2019
University of Cyprus, University of Palermo - d/SEAS, European Stability Mechanism, European Stability Mechanism, European Stability Mechanism and European Union - European Investment Bank
Downloads 67 (351,493)
Citation 2

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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
University of Cyprus, University of Palermo - d/SEAS, European Stability Mechanism, European Stability Mechanism, Banco de España and European Union - European Investment Bank
Downloads 12 (610,945)

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

12.

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 Guilan and University of Cyprus
Downloads 77 (321,266)
Citation 2

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

13.

Breakup and Default Risks in the Eurozone

Number of pages: 42 Posted: 27 Nov 2019 Last Revised: 14 Jan 2020
Giovanni Bonaccolto, Nicola Borri and Andrea Consiglio
Kore University of Enna - School of Economics and Law, LUISS University - Department of Economics and Finance and University of Palermo - d/SEAS
Downloads 19 (543,382)

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redenomination risk, CoVaR, elastic net, LASSO

14.

Evaluation of Insurance Products With Guarantee in Incomplete Markets

Insurance: Mathematics and Economics, Vol. 42, No. 1, 2008
Posted: 05 Apr 2006 Last Revised: 25 Nov 2008
Domenico De Giovanni and Andrea Consiglio
University of Palermo and University of Palermo - d/SEAS

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Life Insurance, Minimum Guarantee, Bonus Provision, Incomplete Markets, Stochastic Programming

15.

How Does Learning Affect Market Liquidity? A Simulation Analysis of a Double-Auction Financial Market with Portfolio Traders

Journal of Economic Dynamics and Control, Vol. 31, No. 6, 2007
Posted: 20 Jan 2006 Last Revised: 25 Nov 2008
Andrea Consiglio and Annalisa Russino
University of Palermo - d/SEAS and University of Palermo - Department of Statistics and Mathematics

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Learning, Portfolio choices, Liquidity, Automated auctions, Artificial markets