Take it to the limit: innovative CVaR applications to extreme credit risk measurement

DOI10.1016/J.EJOR.2014.12.017MaRDI QIDQ320976zbMATH OpenOpenAlexFDO

Authors R. J. Powell, A. K. Singh, D. E. Allen

Publication date 7 October 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2014.12.017

zbMATH Keywords

credit riskconditional value at riskuncertainty modelingcapital buffersconditional probability of default

Mathematics Subject Classification ID

Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Coherent measures of risk
• Credit risk optimization with conditional Value-at-Risk criterion
• Forecasting daily supermarket sales using exponentially weighted quantile regression
• Generalized Markov models of infectious disease spread: a novel framework for developing dynamic health policies
• Procyclicality and the new basel accord-banks' choice of loan rating system
• Quantile regression for modelling distributions of profit and loss
• Quantile regression for robust bank efficiency score estimation
• Regression Quantiles
• Robustness of optimal portfolios under risk and stochastic dominance constraints
• Some remarks on the value-at-risk and the conditional value-at-risk
• Stability analysis of portfolio management with conditional value-at-risk
• Twenty years of linear programming based portfolio optimization

Cited in

(11)

• Firm value and the impact of operational management
• Coordinating supply chain with buy-back contracts in the presence of risk aversion
• Rethinking economic capital management through the integrated derivative-based treatment of interest rate and credit risk
• Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics
• Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules
• A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations
• Accuracy of mortgage portfolio risk forecasts during financial crises
• Risk-theoretic optimal design of output-feedback controllers via iterative convex relaxations
• Economic lot sampling inspection from defect counts with minimum conditional value-at-risk
• Strategic fire-sales and price-mediated contagion in the banking system
• Modelling tail credit risk using transition matrices

Describes a project that uses

Uses Software

• CAViaR
• QRM
• RiskMetrics

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