Portfolio credit-risk optimization
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DOI: 10.1016/j.jbankfin.2012.01.013
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References listed on IDEAS
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Cited by:
- Nielsen, Caren Yinxia, 2016. "Banks' Credit-Portfolio Choices and Risk-Based Capital Regulation," Working Papers 2016:9, Lund University, Department of Economics.
- Dimitris Andriosopoulos & Michalis Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019.
"Computational approaches and data analytics in financial services: A literature review,"
Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1581-1599, October.
- Dimitris Andriosopoulos & Michael Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Post-Print hal-02879937, HAL.
- Dimitris Andriosopoulos & Michael Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Post-Print hal-02880149, HAL.
- Yinxia Nielsen, Caren, 2015. "Banks’ credit-portfolio choices and riskbased capital regulation," Knut Wicksell Working Paper Series 2015/8, Lund University, Knut Wicksell Centre for Financial Studies.
- Changqing Luo & Mengzhen Li & Zisheng Ouyang, 2016. "An empirical study on the correlation structure of credit spreads based on the dynamic and pair copula functions," China Finance Review International, Emerald Group Publishing Limited, vol. 6(3), pages 284-303, August.
- Vladimir Rankovic & Mikica Drenovak & Branko Uroševic & Ranko Jelic, 2016. "Mean Univariate-GARCH VaR Portfolio Optimization: Actual Portfolio Approach," CESifo Working Paper Series 5731, CESifo.
- Wu, Dexiang & Dash Wu, Desheng, 2019. "An enhanced decision support approach for learning and tracking derivative index," Omega, Elsevier, vol. 88(C), pages 63-76.
- Dawen Yan & Xiaohui Zhang & Mingzheng Wang, 2021. "A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations," Annals of Operations Research, Springer, vol. 299(1), pages 659-710, April.
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More about this item
Keywords
Credit risk; Optimization; Portfolio optimization; Risk modeling; Value-at-Risk; Expected shortfall;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Statistics
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