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Optimal structuring of collateralized debt obligation contracts : an optimization approach

Veremyer, Alexander; Tsyurmasto, Peter; Uryasev, Stan - In: The journal of credit risk : published quarterly by … 8 (2012) 4, pp. 133-155

Persistent link: https://www.econbiz.de/10009700459

CLO replenishment regarded as linear optimisation problem

Becker, Claas - In: Decisions in economics and finance : DEF ; a journal of … 40 (2017) 1/2, pp. 53-62

Persistent link: https://www.econbiz.de/10011997097

Pareto-optimality for lethality and collateral risk in the airstrike multi-objective problem

Dillenburger, Steven P.; Jordan, Jeremy D.; Cochran, … - In: Journal of the Operational Research Society 70 (2019) 7, pp. 1051-1064

Persistent link: https://www.econbiz.de/10012213586

A mixed-integer linear programming approach for collateral management

Goblet, Jordan; Willame, Fabien; Grauls, Jan - In: Decision analytics journal 10 (2024), pp. 1-8

Collateral management involves the efficient monitoring and allocation of assets to mitigate credit risk in financial … collateral management, namely to collateralize as much as possible a set of transactions given a limited asset portfolio. In …-world problems often preclude direct resolution through conventional MILP solvers. In addition, each collateral adjustment movement …

Persistent link: https://www.econbiz.de/10014543548

Optimale marktorientierte Banksteuerung mit risikoadjustierten Performancemaßen auf Basis des Value-at-Risk

Völker, Jörg - 2000

Persistent link: https://www.econbiz.de/10001546744

Integrated risk return optimization approach for the bank portfolio

Theiler, Ursula A. - In: Finance India : the quarterly journal of Indian … 17 (2003) 4, pp. 1467-1473

Persistent link: https://www.econbiz.de/10002390671

Design of risk weights

Glasserman, Paul; Kang, Wanmo - In: Operations research 62 (2014) 6, pp. 1204-1220

Persistent link: https://www.econbiz.de/10010471872

Wrong-way risk bounds in counterparty credit risk management

Memartoluie, Amir; Saunders, David M.; Wirjanto, Tony S. - In: Journal of risk management in financial institutions 10 (2016/2017) 2, pp. 150-163

Persistent link: https://www.econbiz.de/10011670666

Systemically important banks : a permutation test approach

Frattarolo, Lorenzo; Parpinel, Francesca; Pizzi, Claudio - 2016

Persistent link: https://www.econbiz.de/10011636612

Optimally Solving Banks' Legacy Problems

Segura, Anatoli - 2019

We characterize policy interventions directed to minimize the cost to the deposit guarantee scheme and the taxpayers of banks with legacy problems. Non-performing loans (NPLs) with low and risky returns create a debt overhang that induces bank owners to forego profitable lending opportunities....

Persistent link: https://www.econbiz.de/10012864905