A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations (Q2241085)
From MaRDI portal
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
