Credit risk optimization using factor models

DOI10.1007/s10479-006-0136-2zbMath1132.91499OpenAlexW2092181454MaRDI QIDQ2480237

David Saunders, Costas Xiouros, Stavros A. Zenios

Publication date: 31 March 2008

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-006-0136-2

zbMATH Keywords

portfolio optimizationcredit risklarge portfolio approximation

Mathematics Subject Classification ID

Related Items (7)

Optimization strategy of credit line management for credit card business ⋮ Discovering the impact of systemic and idiosyncratic risk factors on credit spread of corporate bond within the framework of intelligent knowledge management ⋮ Large-Scale Loan Portfolio Selection ⋮ A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence ⋮ A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations ⋮ Evaluating corporate bonds with complicated liability structures and bond provisions ⋮ NORTA for portfolio credit risk

Cites Work

• Large portfolio losses
• Coherent Measures of Risk
• Foundations of Modern Probability
• Variational Analysis
• Credit risk: Modelling, valuation and hedging
• Credit risk optimization with conditional Value-at-Risk criterion
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