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Analyzing hedging strategies for fixed income portfolios : a Bayesian approach for model selection

Bessler, Wolfgang; Leonhardt, Alexander; Wolff, Dominik - In: International review of financial analysis 46 (2016), pp. 239-256

Persistent link: https://www.econbiz.de/10011581819

Bayesian learning for the Markowitz portfolio selection problem

De Franco, Carmine; Nicolle, Johann; Pham, Huyên - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-40

Persistent link: https://www.econbiz.de/10012153463

Learning and portfolio decisions for CRRA investors

Longo, Michele; Mainini, Alessandra - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10011523763

Robust Bayesian portfolio choices

Anderson, Ewan W.; Cheng, Ai-ru - In: The review of financial studies 29 (2016) 5, pp. 1330-1375

Persistent link: https://www.econbiz.de/10011530038

Bayesian Value-at-Risk backtesting : the case of annuity pricing

Leung, Melvern; Li, Youwei; Pantelous, Athanasios A.; … - In: European journal of operational research : EJOR 293 (2021) 2, pp. 786-801

Persistent link: https://www.econbiz.de/10012513273

Bank credit risk modeling in emerging capital markets

Karminsky, Alexander; Morgunov, Alexei - In: Risk assessment and financial regulation in emerging …, (pp. 123-143). 2021

Models for assessing the probability of default play an important role in the risk management systems of commercial banks, as they allow assessing the creditworthiness of various counterparties and transactions. Many Russian banks are trying to switch to an advanced approach based on internal...

Persistent link: https://www.econbiz.de/10012591671