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Determination of weights for an optimal credit rating model based on default and nondefault distance maximization
Chi, Guotai; Yuan, Kunpeng; Zhou, Ying; Gong, Lingling - In: The journal of risk model validation 14 (2020) 4, pp. 65-87
Persistent link: https://www.econbiz.de/10014336043
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Preference disaggregation methodology in segmentation problems : the case of financial distress
Zopounidis, Constantin - In: New operational approaches for financial modelling, (pp. 417-439). 1997
Persistent link: https://www.econbiz.de/10001299201
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Application of a rule extraction algorithm family based on the Re-RX algorithm to financial credit risk assessment from a Pareto optimal perspective
Hayashi, Yoichi - In: Operations research perspectives 3 (2016), pp. 32-42
Historically, the assessment of credit risk has proved to be both highly important and extremely difficult. Currently, financial institutions rely on the use of computer-generated credit scores for risk assessment. However, automated risk evaluations are currently imperfect, and the loss of vast...
Persistent link: https://www.econbiz.de/10011822744
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A sparsity algorithm for finding optimal counterfactual explanations : Application to corporate credit rating
Wang, Dan; Chen, Zhi; Florescu, Ionuţ; Wen, Bingyang - In: Research in international business and finance 64 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014279409
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Profit-oriented distributionally robust chance constrained flowshop scheduling considering credit risk
Liu, Ming; Liu, Xin; Chu, Feng; Zheng, Feifeng; Chu, … - In: International journal of production research 58 (2020) 8, pp. 2527-2549
Persistent link: https://www.econbiz.de/10012265250
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Continuous-time Markowitz's model with constraints on wealth and portfolio
Li, Xun; Xu, Zuo Quan - In: Operations research letters 44 (2016) 6, pp. 729-736
Persistent link: https://www.econbiz.de/10011622222
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Envelope condition method with an application to default risk models
Arellano, Cristina; Maliar, Lilia; Maliar, Serguei; … - In: Journal of economic dynamics & control 69 (2016), pp. 436-459
Persistent link: https://www.econbiz.de/10011708605
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Optimal portfolio choice with crash and default risk
Müller, Lukas - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-31
Persistent link: https://www.econbiz.de/10013371220
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Optimal portfolios with stochastic interest rates and defaultable assets
Kraft, Holger - 2004
Persistent link: https://www.econbiz.de/10002018962
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Stochastic Optimization for Portfolios Consisting of Corporate Bonds in an Integrated Market and Credit Risk Framework
Papanikolaou, Nikolaos E. - 2011
Persistent link: https://www.econbiz.de/10013131576