Risk-return analysis of credit portfolios

MaRDI QIDQ4660871zbMATH OpenFDO

Authors Frank Schlottmann, Michael Lesko, Stephan Vorgrimler, Detlef Seese

Publication date 4 April 2005

zbMATH Keywords

CreditRisk\(^+\) modelhybrid approachmulti-objective function

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

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Cited in

(7)

• Credit portfolio risk and asset price cycles
• Multi-objective Evolutionary Algorithms for the Risk-return Trade-off in Bank Loan Management
• Risk-return optimization of the bank portfolio
• Discovery of Risk-Return Efficient Structures in Middle-Market Credit Portfolios
• scientific article; zbMATH DE number 5247435 (Why is no real title available?)
• Credit risk analysis of mortgage loans: An application to the Italian market
• A hybrid heuristic approach to discrete multi-objective optimization of credit portfolios

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