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

19

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SSRN CITATIONS
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Top 19,899

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45

CROSSREF CITATIONS

24

Scholarly Papers (19)

1.

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
Bank of Spain- International Dept, Bank for International Settlements (BIS), University of Palermo - d/SEAS and Durham University Business School
Downloads 624 (82,298)

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

2.

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 Durham University Business School
Downloads 445 (124,674)
Citation 4

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

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
Durham University Business School, University of Palermo - d/SEAS, European Stability Mechanism, European Stability Mechanism, European Stability Mechanism and UPNA
Downloads 259 (222,688)
Citation 9

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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
Durham University Business School, University of Palermo - d/SEAS, European Stability Mechanism, European Stability Mechanism, Banco de España and UPNA
Downloads 184 (308,123)

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

4.

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 Durham University Business School
Downloads 253 (230,092)
Citation 5

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

5.

Breakup and Default Risks in the Great Lockdown

d/SEAS Working Paper
Number of pages: 79 Posted: 27 Nov 2019 Last Revised: 07 Sep 2021
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 235 (247,322)
Citation 4

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redenomination risk, CoVaR, elastic net, Covid-19, default risk

6.

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 231 (250,357)

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

7.

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 226 (255,667)

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

8.

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 Durham University Business School
Downloads 197 (292,960)
Citation 1

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

9.

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 187 (304,248)
Citation 3

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Stochastic Programming, Sovereign debt, Optimal Debt Issuance

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 Durham University Business School
Downloads 128 (418,153)
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 Durham University Business School
Downloads 55 (712,640)
Citation 1

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

11.

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

Number of pages: 37 Posted: 14 Nov 2022
Bank of Spain- International Dept, Bank for International Settlements (BIS), University of Palermo - d/SEAS and Durham University Business School
Downloads 173 (326,047)

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

12.

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 Durham University Business School
Downloads 162 (345,206)
Citation 5

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

13.

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
University of Palermo - d/SEAS, Government of the Republic of Cyprus, Audit Office of the Republic of Cyprus and Durham University Business School
Downloads 161 (346,945)
Citation 1

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

14.

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 Durham University Business School
Downloads 160 (348,797)

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

15.

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 Durham University Business School
Downloads 154 (360,119)
Citation 6

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

16.

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 Durham University Business School
Downloads 106 (479,745)
Citation 2

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

17.

Insurance Fraud Detection: A Statistically-Validated Network Approach

Number of pages: 50 Posted: 13 Sep 2022
University of Palermo, University of Palermo - d/SEAS, Bank of Italy, Università di Bologna and Bank of Italy
Downloads 93 (523,933)
Citation 1

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Insurance Fraud Detection,Bipartite Networks,Statistically-Validated Networks.

18.

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

19.

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