Efficient frontier cutoff policies in credit portfolios

DOI10.1057/PALGRAVE.JORS.2601216MaRDI QIDQ4658491zbMATH OpenOpenAlexFDO

Authors Robert M. Oliver, Elliot Wells

Publication date 16 March 2005

Published in The Journal of the Operational Research Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1057/palgrave.jors.2601216

zbMATH Keywords

credit scoringrisk managementefficient frontierscutoff policies

Mathematics Subject Classification ID

Credit risk (91G40)

Recommendations

• Portfolio optimization under credit risk
• Robust optimization of credit portfolios
• Risk-sensitive credit portfolio optimization under partial information and contagion risk
• Credit portfolio selection with decaying contagion intensities
• Efficient frontier of utility and CVaR
• Efficient hybrid methods for portfolio credit derivatives
• Optimal securitization of credit portfolios via impulse control
• Optimal credit allocation under regime uncertainty with sensitivity analysis
• On the computation of the efficient frontier of the portfolio selection problem
• Capital allocation for credit portfolios with kernel estimators

Cited in

(6)

• Credit scoring for profitability objectives
• Scoring decisions in the context of economic uncertainty
• Loan origination decisions using a multinomial scorecard
• Optimal scoring cutoff policies and efficient frontiers
• Modelling profitability using survival combination scores
• Recent developments in consumer credit risk assessment

This page was built for publication: Efficient frontier cutoff policies in credit portfolios

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4658491)