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DebtRisks

Public Debt: Risk Management and Restructuring Optimization

Total Cost €

0

EC-Contrib. €

0

Partnership

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Project "DebtRisks" data sheet

The following table provides information about the project.

Coordinator
UNIVERSITY OF CYPRUS 

Organization address
address: KALLIPOLEOS STREET 75
city: NICOSIA
postcode: 1678
website: www.ucy.ac.cy

contact info
title: n.a.
name: n.a.
surname: n.a.
function: n.a.
email: n.a.
telephone: n.a.
fax: n.a.

 Coordinator Country Cyprus [CY]
 Project website https://www.researchgate.net/project/Sovereign-Debt-Risk-Management
 Total cost 218˙094 €
 EC max contribution 218˙094 € (100%)
 Programme 1. H2020-EU.1.3.2. (Nurturing excellence by means of cross-border and cross-sector mobility)
 Code Call H2020-MSCA-IF-2014
 Funding Scheme MSCA-IF-GF
 Starting year 2016
 Duration (year-month-day) from 2016-06-01   to  2018-12-31

 Partnership

Take a look of project's partnership.

# participants  country  role  EC contrib. [€] 
1    UNIVERSITY OF CYPRUS CY (NICOSIA) coordinator 218˙094.00
2    THE TRUSTEES OF THE UNIVERSITY OF PENNSYLVANIA CORP US (PHILADELPHIA) partner 0.00

Map

 Project objective

'Much we have been learning about the flawed design of eurozone form the current crisis. Non-optimality of euro as a currency zone, banking system fragmentation, weak institutional structures, insufficient political integration, lagging competitiveness and global imbalances, are all blamed for the crisis. At a country level problems are attributed, according to The World Bank and IMF, imprudent public debt management, weak macroeconomic management, and debt overhang.

Our project looks into these over-arching challenges with the broad objective to: 'Develop the capacity for risk management of public debt that can be used in response to crises, and to analyze policy proposals for debt restructuring and common assumption of debt in a currency union'. The eurozone crisis challenges us to develop our capabilities for public debt management and advance the state-of-the-art.This is the purpose of the project. The four specific research tasks, taken together, advance the broad objective: 1. Develop an asset-and-liability management framework for risk management of public debt. 2. Operationalize the framework using multi-period stochastic programming integrated with multi-factor simulations. 3. Extend the optimization model to incorporate debt sustainability analysis and study debt restructuring of crisis countries. 4. Extend the simulation models to integrate current proposals for EU-bonds in public debt risk management. The project is devoted to complementing existing skills and broadening the fellow's knowledge base to develop models for asset-liability management optimization and EU-bond pricing, implement and calibrate them using market data, and demonstrate their efficacy in addressing policy issues for public debt management in crisis countries. The models will be tested in depth on the interesting case of Cyprus, for which we have special knowledge and data, on IMF stylized examples, and for the Italian and Argentinean debt where we also have access.'

 Publications

year authors and title journal last update
List of publications.
2017 Andrea Consiglio, Stavros A. Zenios
Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling
published pages: 537-558, ISSN: 1389-4420, DOI: 10.1007/s11081-017-9360-7
Optimization and Engineering 18/2 2019-11-14
2018 Andrea Consiglio, Somayyeh Lotfi, Stavros A. Zenios
Portfolio diversification in the sovereign credit swap markets
published pages: 5-33, ISSN: 0254-5330, DOI: 10.1007/s10479-017-2565-5
Annals of Operations Research 266/1-2 2019-11-14
2019 Nikolas Topaloglou, Hercules Vladimirou, Stavros A. Zenios
Integrated dynamic models for hedging international portfolio risks
published pages: , ISSN: 0377-2217, DOI: 10.1016/j.ejor.2019.01.027
European Journal of Operational Research 2019-11-14
2017 Roy H. Kwon, Stavros A. Zenios
Optimization for financial engineering: a special issue
published pages: 343-347, ISSN: 1389-4420, DOI: 10.1007/s11081-017-9358-1
Optimization and Engineering 18/2 2019-11-14
2018 Marialena Athanasopoulou, Andrea Consiglio, Aitor Erce, Angel Gavilan Gonzalez, Edmund Moshammer, Stavros A. Zenios
Risk Management for Sovereign Financing within a Debt Sustainability Framework
published pages: , ISSN: 1556-5068, DOI: 10.2139/ssrn.3250806
SSRN Electronic Journal 2019-11-14
2019 Giovanni Pagliardi, Patrice Poncet, Stavros A. Zenios
A Political Capital Asset Pricing Model
published pages: , ISSN: 1556-5068, DOI: 10.2139/ssrn.3351403
SSRN Electronic Journal 2019-11-14
2018 Andrea Consiglio, Stavros A. Zenios
Pricing and hedging GDP-linked bonds in incomplete markets
published pages: 137-155, ISSN: 0165-1889, DOI: 10.1016/j.jedc.2018.01.001
Journal of Economic Dynamics and Control 88 2019-11-14
2018 Andrea Consiglio, Michele Tumminello, Stavros A. Zenios
Pricing Sovereign Contingent Convertible Debt
published pages: , ISSN: 0219-0249, DOI: 10.1142/S0219024918500498
International Journal of Theoretical and Applied Finance 2019-11-14
2018 Somayyeh Lotfi, Stavros A. Zenios
Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
published pages: 556-576, ISSN: 0377-2217, DOI: 10.1016/j.ejor.2018.02.003
European Journal of Operational Research 269/2 2019-11-14
2015 Andrea Consiglio, Stavros A. Zenios
Risk Management Optimization for Sovereign Debt Restructuring
published pages: , ISSN: 1948-1837, DOI: 10.1515/jgd-2015-0015
Journal of Globalization and Development 6/2 2019-11-14
2018 ANDREA CONSIGLIO, MICHELE TUMMINELLO, STAVROS A. ZENIOS
PRICING SOVEREIGN CONTINGENT CONVERTIBLE DEBT
published pages: 1850049, ISSN: 0219-0249, DOI: 10.1142/s0219024918500498
International Journal of Theoretical and Applied Finance 21/08 2019-11-14
2018 Andrea Consiglio, Stavros A. Zenios
Contingent Convertible Bonds for Sovereign Debt Risk Management
published pages: , ISSN: 1948-1837, DOI: 10.1515/jgd-2017-0011
Journal of Globalization and Development 9/1 2019-11-14
2018 Somayyeh Lotfi, Stavros A. Zenios
Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
published pages: 556-576, ISSN: 0377-2217, DOI: 10.1016/j.ejor.2018.02.003
European Journal of Operational Research 269/2 2019-11-14

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