Portfolio optimization under credit risk

DOI10.1007/BF03354601MaRDI QIDQ1424641zbMATH OpenOpenAlexFDO

Authors R. Zagst, Jan Kerhrbaum, Bernd Schmid

Publication date 16 March 2004

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf03354601

zbMATH Keywords

uncertainty indexdefaultable bond pricelinear mixed-integer programming

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Portfolio theory (91G10) Mixed integer programming (90C11)

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Cites work

• Interest-rate management
• Pricing interest-rate-derivative securities

Cited in

(18)

• Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence
• Portfolio diversification in the sovereign credit swap markets
• Robust optimization of credit portfolios
• A problem of managing the credit portfolio
• Discovery of Risk-Return Efficient Structures in Middle-Market Credit Portfolios
• Bond portfolio optimization with long-range dependent credits
• Efficient frontier cutoff policies in credit portfolios
• OPTIMAL CREDIT RATINGS
• Integrated portfolio management with options
• Credit portfolio risk and asset price cycles
• On the simulation of portfolios of interest rate and credit risk sensitive securities
• Hedging market and credit risk in corporate bond portfolios
• scientific article; zbMATH DE number 5494121 (Why is no real title available?)
• scientific article; zbMATH DE number 5247435 (Why is no real title available?)
• On hedging the risk of default caused by changes of interest rates
• Portfolio optimization of credit swap under funding costs
• OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH
• Portfolio Choice with Market--Credit-Risk Dependencies

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