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Credit risk optimization with Conditional Value-at-Risk criterion · Study

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ArticleCredit risk optimization with Conditional Value-at-Risk criterion

Fredrik W. Andersson2001

Article2001

Credit risk optimization with Conditional Value-at-Risk criterion

Fredrik W. Andersson · Helmut E. Mausser · Dan Rosen · Stan Uryasev

295 citations·0/0 files stored·Mathematical Programming

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Credit Risk and Financial Regulations

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References

1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 1995Stochastic Programming 1997An Overview of Value at Risk 2002Conditional value-at-risk: optimization algorithms and applications 1998Worldwide asset and liability modeling 1998Portfolio Credit Risk

Cited by

2006Conditional value at risk and related linear programming models for portfolio optimization 2013Twenty years of linear programming based portfolio optimization 2003Probabilistic Programming 2005A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem 2001Conditional Value-at-Risk: Optimization Approach 2005Portfolio management with heuristic optimization 2012What are robust strategies in the face of uncertain climate threshold responses?2023

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2002Algorithms for Optimization of Value-at-Riskchapter · 6 shared references 2001Portfolio optimization with conditional value-at-risk objective and constraintsarticle · 4 shared references 2010Modeling and optimization of riskarticle · 4 shared references 2009Constructing Risk Measures from Uncertainty Setsarticle · 4 shared references 2001Conditional Value-at-Risk: Optimization Approachchapter · 4 shared references 2008Robust optimization of conditional value at risk and portfolio selectionarticle · 4 shared references

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Year2001

Typearticle

Published2001-01-01

VenueMathematical Programming

ISSN-L0025-5610

Languageen

Citations295

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/pl00011399

openalex_workW2002736235

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Operational Research: methods and applications