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

DOI10.1016/J.EJOR.2014.12.017zbMATH Open1346.91246OpenAlexW2067031490MaRDI QIDQ320976FDOQ320976

A. K. Singh, R. J. Powell, 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

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zbMATH Keywords

credit riskconditional value at riskuncertainty modelingcapital buffersconditional probability of default

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Title not available (Why is that?)
• Regression Quantiles
• Coherent measures of risk
• Quantile regression for modelling distributions of profit and loss
• Robustness of optimal portfolios under risk and stochastic dominance constraints
• Some remarks on the value-at-risk and the conditional value-at-risk
• Credit risk optimization with conditional Value-at-Risk criterion
• Generalized Markov models of infectious disease spread: a novel framework for developing dynamic health policies
• Twenty years of linear programming based portfolio optimization
• Stability analysis of portfolio management with conditional value-at-risk
• Quantile regression for robust bank efficiency score estimation
• Procyclicality and the new basel accord-banks' choice of loan rating system
• Forecasting daily supermarket sales using exponentially weighted quantile regression

Cited In (7)

• Firm value and the impact of operational management
• A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations
• Economic lot sampling inspection from defect counts with minimum conditional value-at-risk
• Strategic fire-sales and price-mediated contagion in the banking system
• Coordinating Supply Chain with Buy-Back Contracts in the Presence of Risk Aversion
• Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics
• Risk-theoretic optimal design of output-feedback controllers via iterative convex relaxations

Uses Software

• CAViaR
• QRM
• RiskMetrics

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