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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
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FRTB's PL Attribution Tests Decomposed & Optimized
Mahfoudhi, Ridha - 2018
One of the key challenges implied by the upcoming regulatory framework for market risk, known as FRTB, is the PL attribution (PLA) tests. PLA tests constitute a major innovation in the way risk engine and models are assessed for effectiveness and accuracy (on both pricing and risk factors...
Persistent link: https://www.econbiz.de/10012922040
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Procurement strategy with credit risk
Wang, Hsiao-fan; Su, Ray - In: International journal of operations and quantitative … 19 (2013) 3, pp. 179-200
Persistent link: https://www.econbiz.de/10010253593
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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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Robust optimization of credit portfolios
Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 42 (2017) 1, pp. 30-56
Persistent link: https://www.econbiz.de/10011654555
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Die Optimierung des Kreditportfolios : ein Modell zur optimalen Gestaltung des Kreditportfolios mithilfe aktiver Steuerungsinstrumente
Geidt-Karrenbauer, Ulrike - 2010
Persistent link: https://www.econbiz.de/10003929052
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Optimal structuring of collateralized debt obligation contracts : an optimization approach
Veremyer, Alexander; Tsyurmasto, Peter; Uryasev, Stan - In: The journal of credit risk : published quarterly by … 8 (2012) 4, pp. 133-155
Persistent link: https://www.econbiz.de/10009700459
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Optimal dynamic resource allocation to prevent defaults
Ayesta, U.; Erausquin, M.; Ferreira, Eva; Jacko, P. - In: Operations research letters 44 (2016) 4, pp. 451-456
Persistent link: https://www.econbiz.de/10011535335
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Contributions to credit portfolio modeling and optimization
Onwunta, Akwum - 2011
Persistent link: https://www.econbiz.de/10008935882
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Modellanalytische Bilanzstrukturoptimierung unter Rendite-/Risiko-Kriterien im Rahmen des Dualen Steuerungsmodells
Wöhle, Claudia B. - In: Kredit und Kapital 36 (2003) 1, pp. 82-119
Persistent link: https://www.econbiz.de/10001758776