A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations (Q2241085): Difference between revisions
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Revision as of 16:41, 29 February 2024
scientific article
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| English | A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations |
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Statements
A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations (English)
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8 November 2021
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asset allocation
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credit rating migration
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capital adequacy ratio
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distributionally robust optimization
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chance constraint
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