Investment Approach to Credit Risk Management at Commercial Banks Using Stochastic Dominance Algorithm

The problem of credit risk management at commercial banks is solved using the stochastic dominance criteria supplementing them with the voting theory elements. The developed stochastic dominance algorithm is based on an investment approach whose basic concept consists in management of both default risk and imputed loss risk in relation to banks

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Year of publication:	2014
Authors:	Trifonov, Yuriy
Other Persons:	Yashin, Sergey (contributor) ; Koshelev, Egor (contributor) ; Chuhmanov, Dimitry (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Kreditrisiko \| Credit risk \| Theorie \| Theory \| Bank \| Risikomanagement \| Risk management \| Portfolio-Management \| Portfolio selection \| Algorithmus \| Algorithm

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Extent:	1 Online-Ressource (12 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 27, 2014 erstellt
Other identifiers:	10.2139/ssrn.2386297 [DOI]
Classification:	C53 - Forecasting and Other Model Applications ; C65 - Miscellaneous Mathematical Tools ; G11 - Portfolio Choice ; G17 - Financial Forecasting ; G21 - Banks; Other Depository Institutions; Mortgages
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013060002