Showing 1 - 10 of 27
Multi-factor credit portfolio models are used widely today for managing economic capital and pricing collateralized debt obligations (CDOs) and asset-backed securities. Commonly, practitioners allocate capital to the portfolio components (sub-portfolios, counterparties, or transactions). The...
Persistent link: https://www.econbiz.de/10005107076
Determining contributions to overall portfolio risk is an important topic in risk management. For positions (instruments and sub-portfolios), this problem has been well studied, and a significant theory built, around the calculation of marginal contributions. We consider the problem of...
Persistent link: https://www.econbiz.de/10008484684
Persistent link: https://www.econbiz.de/10008349512
Persistent link: https://www.econbiz.de/10008162058
Persistent link: https://www.econbiz.de/10008889409
Persistent link: https://www.econbiz.de/10008890142
Persistent link: https://www.econbiz.de/10002745677
Persistent link: https://www.econbiz.de/10002745690
Of great importance to management, the computation of trade-offs presents particular difficulties within DEA since the piecewise linear nature of the envelopment surfaces does not allow for unique derivatives at every point. We present a comprehensive framework for analyzing marginal rates, and...
Persistent link: https://www.econbiz.de/10011154952
Persistent link: https://www.econbiz.de/10006524926