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Embedded tax liabilities and portfolio choice
Turvey, Phillip A.; Basu, Anup K.; Verhoeven, Peter - In: The journal of portfolio management : a publication of … 39 (2013) 3, pp. 93-101
Persistent link: https://www.econbiz.de/10009750754
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Modeling credit risk : a category theory perspective
Trân-cao-Son; Nicolau, Dan; Nayak, Richi; Verhoeven, Peter - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-21
This paper proposes a conceptual modeling framework based on category theory that serves as a tool to study common …
Persistent link: https://www.econbiz.de/10012622485
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Kelly criterion for optimal credit allocation
Tran, Son; Verhoeven, Peter - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-15
The purpose of this study is to address the critical issue of optimal credit allocation. Predicting a borrower's probability of default is a key requirement of any credit allocation system but turning it into labeled classes leads to problems in performance measurement. In this paper the...
Persistent link: https://www.econbiz.de/10012628483