Determining hurdle rate and capital allocation in credit portfolio management

Peter Miu, Bogie Ozdemir, Evren Cubukgil, Michael Giesinger

Year of publication:	October 2016
Authors:	Miu, Peter ; Ozdemir, Bogie ; Cubukgil, Evren ; Giesinger, Michael
Published in:	Journal of financial services research : JFSR. - Dordrecht [u.a.] : Springer Science + Business Media Inc., ISSN 0920-8550, ZDB-ID 1027136-3. - Vol. 50.2016, 2, p. 243-273
Subject:	Credit portfolio management \| RAROC \| Economic capital \| Capital allocation \| Hurdle rate \| Tail risk \| Portfolio-Management \| Portfolio selection \| Kreditrisiko \| Credit risk \| Theorie \| Theory \| Risikomanagement \| Risk management

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