Determining hurdle rate and capital allocation in credit portfolio management
Year of publication: |
October 2016
|
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Authors: | Miu, Peter ; Ozdemir, Bogie ; Cubukgil, Evren ; Giesinger, Michael |
Published in: |
Journal of financial services research : JFSR. - Dordrecht [u.a.] : Springer Science + Business Media Inc., ISSN 0920-8550, ZDB-ID 1027136-3. - Vol. 50.2016, 2, p. 243-273
|
Subject: | Credit portfolio management | RAROC | Economic capital | Capital allocation | Hurdle rate | Tail risk | Theorie | Theory | Portfolio-Management | Portfolio selection | Finanzdienstleistung | Financial services | Kreditrisiko | Credit risk | Risikomanagement | Risk management |
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