Iscoe, Ian; Kreinin, Alexander; Mausser, Helmut; … - In: Journal of Banking & Finance 36 (2012) 6, pp. 1604-1615
This paper evaluates several alternative formulations for minimizing the credit risk of a portfolio of financial … contracts with different counterparties. Credit risk optimization is challenging because the portfolio loss distribution is … typically unavailable in closed form. This makes it difficult to accurately compute Value-at-Risk (VaR) and expected shortfall …