Risk-based loan pricing : portfolio optimization approach with marginal risk contribution
So Yeon Chun, Miguel A. Lejeune
| Year of publication: |
2020
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|---|---|
| Authors: | Chun, So Yeon ; Lejeune, Miguel A. |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 66.2020, 8, p. 3735-3753
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| Subject: | pricing | revenue management | credit risk | marginal risk | value at risk | conditional value at risk | willingness to pay | mixed-integer nonlinear stochastic programming | Risikomaß | Risk measure | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Theorie | Theory | Zahlungsbereitschaftsanalyse | Willingness to pay | Risikomanagement | Risk management | Risiko | Risk | Revenue-Management | Revenue management | Stochastischer Prozess | Stochastic process |