Andrea Consiglio

University of Palermo

Professor

Deparment of Economics and Statistics

Viale delle Scienze - Ed. 13

Palermo, 90128

Italy

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

SCHOLARLY PAPERS

13

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CITATIONS

1

Scholarly Papers (13)

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 and University of Cyprus
Downloads 235 (72,097)

Abstract:

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

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 and University of Palermo
Downloads 186 (132,511)

Abstract:

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 and University of Aarhus - School of Business and Social Sciences
Downloads 2 (554,515)

Abstract:

3.

Simulating Term Structure of Interest Rates with Arbitrary Marginals

Number of pages: 16 Posted: 11 May 2007
Andrea Consiglio
University of Palermo
Downloads 171 (131,938)

Abstract:

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

4.

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 and University of Palermo - Dipartimento di Scienze Statistiche e Matematiche
Downloads 119 (184,724)
Citation 1

Abstract:

Stochastic Programming, Sovereign debt, Optimal Debt Issuance

5.

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 and University of Cyprus
Downloads 109 (191,745)

Abstract:

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

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, University of Palermo and University of Cyprus
Downloads 95 (172,815)

Abstract:

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

7.

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, University of Palermo and University of Cyprus
Downloads 64 (232,943)

Abstract:

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

8.

Pricing and Hedging GDP-Linked Bonds in Incomplete Markets

Number of pages: 21 Posted: 11 May 2017
Andrea Consiglio and Stavros A. Zenios
University of Palermo and University of Cyprus
Downloads 0 (438,615)

Abstract:

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

9.

Portfolio Diversification in the Sovereign Credit Swap Markets

Number of pages: 23 Posted: 08 Aug 2016
Andrea Consiglio, Somayyeh Lotfi and Stavros A. Zenios
University of Palermo, University of Guilan and University of Cyprus
Downloads 0 (322,609)

Abstract:

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

10.

Pricing Sovereign Contingent Convertible Debt

The Wharton Financial Institutions Center WP 16-05
Number of pages: 30 Posted: 25 Jul 2016
Andrea Consiglio, Michele Tumminello and Stavros A. Zenios
University of Palermo, University of Palermo and University of Cyprus
Downloads 0 (295,813)

Abstract:

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

11.

The Case for Contingent Convertible Debt for Sovereigns

The Wharton Financial Institutions Center WP 15-13
Number of pages: 27 Posted: 26 Nov 2015 Last Revised: 22 Apr 2016
Andrea Consiglio and Stavros A. Zenios
University of Palermo and University of Cyprus
Downloads 0 (159,549)

Abstract:

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

12.

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

Abstract:

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

13.

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 and University of Palermo - Department of Statistics and Mathematics

Abstract:

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