A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations (Q2241085): Difference between revisions

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Latest revision as of 01:38, 27 July 2024

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A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations
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    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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