Distributionally robust optimization approaches to credit risk management of corporate loan portfolios
Hansheng Sun and Roy Kwon
| Year of publication: |
2024
|
|---|---|
| Authors: | Sun, Hansheng ; Kwon, Roy |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ZDB-ID 2446290-1. - Vol. 20.2024, 3, p. 1-26
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| Subject: | credit portfolio management (CPM) | distributionally robust optimization | empirical likelihood | significant increase in credit risk (SICR) | risk limit management | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Theorie | Theory | Robustes Verfahren | Robust statistics | Kreditgeschäft | Bank lending | Statistische Verteilung | Statistical distribution | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCR.2024.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015464860