We propose a novel method of Mean-Capital Requirement portfolio optimization. The optimization is performed using a parallel framework for optimization based on the Nondominated Sorting Genetic Algorithm II. Capital requirements for market risk include an additional stress component introduced...

Intro -- Title Page -- Copyright -- Foreword -- Preface -- 1 Revision of the Standardised Approach for Credit Risk -- 1.1 Introduction -- 1.2 General aspects -- 1.3 Use of external ratings -- 1.4 Credit risk mitigation techniques -- 1.5 Conclusions -- Recommended Literature -- Notes -- 2 The...