Conditional value-at-risk optimization for credit risk using asset value models.

MaRDI QIDQ3223902zbMATH OpenFDO

Authors Matthias Heidrich

Publication date 9 March 2012

zbMATH Keywords

risk measureschance constraintsellipsoidal uncertainty setloan portfolio optimizationrobustification approach

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Credit risk (91G40) Mixed integer programming (90C11)

Recommendations

• Credit risk optimization with conditional Value-at-Risk criterion
• scientific article; zbMATH DE number 6263686
• Conditional value-at-risk: optimization approach
• Conditional value at risk and related linear programming models for portfolio optimization
• Some remarks on the value-at-risk and the conditional value-at-risk

Cited in

(1)

• On the credit risk of secured loans with maximum loan-to-value covenants

This page was built for publication: Conditional value-at-risk optimization for credit risk using asset value models.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3223902)