Optimal control of credit risk.

zbMATH Open1054.91049MaRDI QIDQ705353FDOQ705353

Authors: Didier Cossin, Felipe Miguel Aparicio Acosta 

Publication date: 27 January 2005

Published in: Advances in Computational Management Science (Search for Journal in Brave)

Recommendations

• Bank management via stochastic optimal control
• Optimal securitization of credit portfolios via impulse control
• Optimizing credit risk mitigation effects of collaterals under Basel II
• scientific article; zbMATH DE number 1795918
• Credit risk optimization with conditional Value-at-Risk criterion

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Research exposition (monographs, survey articles) pertaining to calculus of variations and optimal control (49-02)

Cited In (6)

• On the credit risk of secured loans with maximum loan-to-value covenants
• Optimizing credit risk mitigation effects of collaterals under Basel II
• Optimal control models in finance. A new computational approach.
• Optimal and admissible programs of credit control
• OPTIMAL CREDIT RATINGS
• THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY

This page was built for publication: Optimal control of credit risk.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q705353)