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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