Optimization Problems in the Simulation of Multifactor Portfolio Credit Risk

DOI10.1007/11751595_82MaRDI QIDQ3600163zbMATH OpenOpenAlexFDO

Authors Wanmo Kang, Kyungsik Lee

Publication date 10 February 2009

Published in Computational Science and Its Applications - ICCSA 2006 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/11751595_82

Mathematics Subject Classification ID

Computational difficulty of problems (lower bounds, completeness, difficulty of approximation, etc.) (68Q17)

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Cited in

(2)

• Credit risk optimization using factor models
• Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence

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