In recent years modern methods of optimization have contributed greatly to the advances in data mining and related areas. These contributions continue today and promise to further advance the state of the art both in terms of modeling innovations and new solution methodologies. In this paper, we...

Simulation optimization is providing solutions to important practical problems previously beyond reach. This paper explores how new approaches are significantly expanding the power of simulation optimization for managing risk. Recent advances in simulation optimization technology are leading to...

The bipartite boolean quadratic programming problem (BBQP) is a generalization of the well studied boolean quadratic programming problem. The model has a variety of real life applications; however, empirical studies of the model are not available in the literature, except in a few isolated...

In this paper, we investigate whether the theoretical default probability measures calculated from Merton's (1974) structural credit risk model can provide a better way to explain and predict credit rating than traditional statistical models. The empirical results suggest that Merton's...

Taking advantage of the fexibility of the simple hazard rate model estimation technique similar to Shumway (2001), this paper studies the effects of duration, momentum, and rating policies on credit rating changes. In contrast to previous findings, we find that the duration effect on credit...