We examine the stability of a portfolio management model based on the conditional value-at-risk (CVaR) measure; the model controls risk exposure of international investment portfolios. We use a moment-matching method to generate discrete distributions (scenario sets) of asset returns and exchange...

The management of credit risky assets requires simulation models that integrate the disparate sources of credit and market risk, and suitable optimization models for scenario analysis. In this paper we integrate Monte Carlo simulation models for credit risk with scenario optimization, and...