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Optimal Securitization of Credit Portfolios via Impulse Control

Seydel, Roland C. - 2010

We study the optimal loan securitization policy of a commercial bank which is mainly engaged in lending activities. For …

Persistent link: https://www.econbiz.de/10013135270

In Research of Optimal Model for Predicting Bankruptcy

Abdipoor, Sajad - 2014

bankruptcy. Multi-layered perceptron (MLP) because of easy training and high efficiency and also integrated multi …

Persistent link: https://www.econbiz.de/10013051202

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

Envelope condition method with an application to default risk models

Arellano, Cristina; Maliar, Lilia; Maliar, Serguei; … - In: Journal of economic dynamics & control 69 (2016), pp. 436-459

Persistent link: https://www.econbiz.de/10011708605

Optimal portfolio choice with crash and default risk

Müller, Lukas - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-31

Persistent link: https://www.econbiz.de/10013371220

Determination of weights for an optimal credit rating model based on default and nondefault distance maximization

Chi, Guotai; Yuan, Kunpeng; Zhou, Ying; Gong, Lingling - In: The journal of risk model validation 14 (2020) 4, pp. 65-87

Persistent link: https://www.econbiz.de/10014336043

Analyzing Firm Performance in the Insurance Industry Using Frontier Efficiency and Productivity Methods

Cummins, J David - 2014

The objective of this paper is to discuss the use of modern frontier efficiency analysis to analyze firm performance in … research to incorporate the frontier efficiency approach. The chapter also serves as a guide for those who are already … conducting frontier efficiency analysis but are seeking guidance in using the methodology or defining inputs and outputs. We …

Persistent link: https://www.econbiz.de/10013066707

A mixed-integer network DEA with shared inputs and undesirable outputs for performance evaluation : efficiency measurement of bank branches

Omrani, Hashem; Oveysi, Zeynab; Emrouznejad, Ali; … - In: Journal of the Operational Research Society 74 (2023) 4, pp. 1150-1165

Persistent link: https://www.econbiz.de/10014334882

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