Large-Scale Loan Portfolio Selection
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Publication:2957455
DOI10.1287/opre.2016.1537zbMath1354.90075OpenAlexW3124033288MaRDI QIDQ2957455
Gerry Tsoukalas, Kay Giesecke, Justin A. Sirignano
Publication date: 26 January 2017
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://repository.upenn.edu/cgi/viewcontent.cgi?article=1313&context=fnce_papers
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Sensitivity analysis for marked Hawkes processes: application to CLO pricing ⋮ The performance of bank portfolio optimization ⋮ A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence ⋮ Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models ⋮ A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations ⋮ Online Risk Monitoring Using Offline Simulation ⋮ Operational research and artificial intelligence methods in banking
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