Nick Georgiopoulos is a senior officer at the Financial Stability department at the Bermuda Monetary Authority. He is responsible for the analytic support of the department in the fields of economic analysis and macroprudential surveillance. He has worked on topics in macroeconomics such as public debt sustainability, corporate taxation and fixed exchange rate sustainability while he has worked in insurance supervision in the fields of insurance stress testing, Solvency II and compilation of macro-surveillance indicators for insurance companies. He currently serves as a member of the Macroprudential Policy and Surveillance Working Group at the International Association of Insurance Supervisors (IAIS). In the past, he worked as a risk manager at the Vienna Insurance Group, while he interned at the International Monetary Fund. He holds a PhD in finance from the Vienna University of Economics with focus on asset liability management for life insurers. He also holds a master in finance from the University of Lausanne and a Bachelor in actuarial science.
The author introduces the triangular approximation to the normal distribution in order to extract closed- and semi-closed-form solutions that are useful in risk measurement calculations.
The valuation of contingent convertible catastrophe debt under simple solvency and liquidity covenants
This paper studies a new write-off debt instrument (called CoCoCAT bond) whose writeoff is triggered by solvency and event-driven covenants.