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ArticleLarge-Scale Loan Portfolio Selection

Justin A. Sirignano2015

OA

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Large-Scale Loan Portfolio Selection

Justin A. Sirignano · Gerry Tsoukalas · Kay Giesecke

32 citations·0/0 files stored·Operations Research

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Risk and Portfolio Optimization Banking stability, regulation, efficiency Stochastic processes and financial applications

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References

2001Valuing American Options by Simulation: A Simple Least-Squares Approach 2010Consumer credit-risk models via machine-learning algorithms 2001Regression methods for pricing complex American-style options 2001Credit risk optimization with Conditional Value-at-Risk criterion 2002Survival Analysis Methods for Personal Loan Data 1999Not if but When will Borrowers Default 2010Forecasting bank loans loss-given-default 2001Default probabilities in a corporate bank portfolio: A logistic model approach

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2021Impacts of Extreme Weather Events on Mortgage Risks and Their Evolution under Climate Change: A Case Study on Florida 2019Online Risk Monitoring Using Offline Simulation

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2018Risk Analysis for Large Pools of Loansarticle · 7 shared references 2011Mixture cure models in credit scoring: If and when borrowers defaultarticle · 3 shared references 2014Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Riskarticle · 3 shared references 2011A time-dependent proportional hazards survival model for credit risk analysisarticle · 3 shared references 2013The Role of Financial, Macroeconomic, and Non-financial Information in Bank Loan Default Timing Predictionarticle · 3 shared references 2020Deep learning for survival and competing risk modellingarticle · 3 shared references

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Year2015

Typearticle

Published2015-01-01

VenueOperations Research

ISSN-L0030-364X

Languageen

Citations32

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1287/opre.2016.1537

openalex_workW3124033288

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