Conditional value-at-risk optimization for credit risk using asset value models. (Q3223902)
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scientific article; zbMATH DE number 6013340
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| English | Conditional value-at-risk optimization for credit risk using asset value models. |
scientific article; zbMATH DE number 6013340 |
Statements
9 March 2012
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loan portfolio optimization
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robustification approach
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ellipsoidal uncertainty set
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chance constraints
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risk measures
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0.8081797361373901
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0.7431984543800354
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0.7418756484985352
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0.7354052066802979
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