A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations (Q2241085): Difference between revisions
From MaRDI portal
Latest revision as of 01:38, 27 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations |
scientific article |
Statements
A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations (English)
0 references
8 November 2021
0 references
asset allocation
0 references
credit rating migration
0 references
capital adequacy ratio
0 references
distributionally robust optimization
0 references
chance constraint
0 references
0 references
0 references
0 references
0 references
0 references
0 references