Credit risk optimization using factor models
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Publication:2480237
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Cites work
- Coherent measures of risk
- Credit risk optimization with conditional Value-at-Risk criterion
- Credit risk: Modelling, valuation and hedging
- Expected shortfall and beyond
- Foundations of Modern Probability
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 3764832 (Why is no real title available?)
- scientific article; zbMATH DE number 1076783 (Why is no real title available?)
- scientific article; zbMATH DE number 1795842 (Why is no real title available?)
- Large portfolio losses
- Variational Analysis
Cited in
(16)- 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
- Large-Scale Loan Portfolio Selection
- Optimization strategy of credit line management for credit card business
- OPTIMAL CREDIT RATINGS
- Optimization Problems in the Simulation of Multifactor Portfolio Credit Risk
- Application of Discriminant Analysis, Factor Analysis, Logistic Regression, and KMV-Merton Model in Credit Risk Analysis
- Large portfolio credit risk modeling
- About one descriptive model of granting credit limits
- scientific article; zbMATH DE number 6263686 (Why is no real title available?)
- Credit risk analysis using boosting methods
- A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence
- Credit selection in collateralized loan obligation: efficient approximation through linearization and clustering
- Discovering the impact of systemic and idiosyncratic risk factors on credit spread of corporate bond within the framework of intelligent knowledge management
- On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk
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