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Stochastic Optimization for Portfolios Consisting of Corporate Bonds in an Integrated Market and Credit Risk Framework

Papanikolaou, Nikolaos E. - 2011

Persistent link: https://www.econbiz.de/10013131576

Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks

Castrén, Olli; Fitzpatrick, Trevor; Sydow, Matthias - 2009

In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a credit risk model - based on publicly available information . with the aim of developing a tool to monitor credit risk in a sample of large and complex banking groups (LCBGs) in...

Persistent link: https://www.econbiz.de/10003831692

Procurement strategy with credit risk

Wang, Hsiao-fan; Su, Ray - In: International journal of operations and quantitative … 19 (2013) 3, pp. 179-200

Persistent link: https://www.econbiz.de/10010253593

Dynamic portfolio optimization with a defaultable security and regime-switching

Capponi, Agostino; Figueroa-López, José E. - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 207-249

Persistent link: https://www.econbiz.de/10010357378

A portfolio optimisation model for credit risky bonds with Markov model credit rating dynamics

Singh, Arti; Dharmaraja, Selvamuthu - In: International journal of financial markets and derivatives 6 (2017) 2, pp. 102-119

Persistent link: https://www.econbiz.de/10011862377

Robust optimization of credit portfolios

Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 42 (2017) 1, pp. 30-56

Persistent link: https://www.econbiz.de/10011654555

Profit-oriented distributionally robust chance constrained flowshop scheduling considering credit risk

Liu, Ming; Liu, Xin; Chu, Feng; Zheng, Feifeng; Chu, … - In: International journal of production research 58 (2020) 8, pp. 2527-2549

Persistent link: https://www.econbiz.de/10012265250

Modellanalytische Bilanzstrukturoptimierung unter Rendite-/Risiko-Kriterien im Rahmen des Dualen Steuerungsmodells

Wöhle, Claudia B. - In: Kredit und Kapital 36 (2003) 1, pp. 82-119

Persistent link: https://www.econbiz.de/10001758776

Regulatory impacts on credit portfolio management

Theiler, Ursula; Bugera, Vladimir; Revenko, Alla; … - In: Operations research proceedings 2002 : selected papers …, (pp. 335-340). 2003

Persistent link: https://www.econbiz.de/10001752031

Special issue on mathematical models in market and credit risk

2002

Persistent link: https://www.econbiz.de/10001678002