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

zbMATH Open1243.91002MaRDI QIDQ3223902FDOQ3223902

Authors: Matthias Heidrich 

Publication date: 9 March 2012

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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)

Cited In (1)

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

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