Credit selection in collateralized loan obligation: efficient approximation through linearization and clustering

DOI10.1016/J.EJOR.2025.11.015MaRDI QIDQ7233164zbMATH OpenFDO

Authors Arnaud Germain, Frédéric Vrins

Publication date 24 April 2026

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.EJOR.2025.11.015

zbMATH Keywords

collateralized loan obligationmixed-integer nonlinear programmingOR in bankingportfolio optimization

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites work

• A top-down approach to multiname credit
• An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve
• Credit risk optimization using factor models
• Large-Scale Loan Portfolio Selection
• Optimal bespoke CDO design via NSGA-II
• Optimal investment in credit derivatives portfolio under contagion risk
• Quantile estimation with adaptive importance sampling
• Support vector machines for default prediction of SMEs based on technology credit
• The value of text for small business default prediction: a deep learning approach

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