Take it to the limit: innovative CVaR applications to extreme credit risk measurement (Q320976): Difference between revisions

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-Q320973
@@ Property / author: Q320973 / rank @@
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@@ Property / author @@
-David E. Allen
@@ Property / author: David E. Allen / rank @@
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@@ Property / author @@
+David E. Allen
@@ Property / author: David E. Allen / rank @@
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+CAViaR
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+RiskMetrics
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+MaRDI publication profile
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+https://doi.org/10.1016/j.ejor.2014.12.017
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+W2067031490
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@@ Property / cites work @@
+Credit risk optimization with conditional Value-at-Risk criterion
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@@ Property / cites work @@
+Coherent Measures of Risk
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+Quantile regression for robust bank efficiency score estimation
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+Procyclicality and the new basel accord-banks' choice of loan rating system
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+Robustness of optimal portfolios under risk and stochastic dominance constraints
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+Stability analysis of portfolio management with conditional value-at-risk
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+Regression Quantiles
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+Twenty years of linear programming based portfolio optimization
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+Forecasting daily supermarket sales using exponentially weighted quantile regression
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+Quantile regression for modelling distributions of profit and loss
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