Robust Optimization of Credit Portfolios
نویسندگان
چکیده
منابع مشابه
Tails of Credit Default Portfolios
We derive analytic expressions for the tail behavior of credit losses in a large homogeneous credit default portfolio. Our model is an extended CreditMetrics model; i.e. it is a one-factor model with a multiplicative shock-variable. We show that the first order tail behavior is robust with respect to this shockvariable. In a simulation study we compare different models for the latent variables....
متن کاملAnalytical Framework for Credit Portfolios
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures (standard deviation, VaR and Expected Shortfall) as well as allocation of risk down to individual transactions. The underlying model is the industry standard multi...
متن کاملAutonomous Restructuring Portfolios in Credit Cards
This paper proposes the novel concept of Autonomous Restructuring Portfolios which would enable financial portfolios to re-adjust themselves to cater with the highly volatile customer behavior pattern. It investigates the possibility of using Kohonen’s Self Organizing Maps in analyzing, categorizing & modifying strategies applied on financial portfolios according to the its behavior patterns. I...
متن کاملDeciphering robust portfolios
Robust portfolio optimization has been developed to resolve the high sensitivity to inputs of the Markowitz mean-variance model. Although much effort has been put into forming robust portfolios, there have not been many attempts to analyze the characteristics of portfolios formed from robust optimization. We investigate the behavior of robust portfolios by analytically describing how robustness...
متن کاملHow Robust is the Value-at-Risk of Credit Risk Portfolios?
In this paper, we assess the magnitude of model uncertainty of credit risk portfolio models, i.e., what is the maximum and minimum Value-at-Risk (VaR) that can be justified given a certain amount of available information. Puccetti and Rüschendorf (2012b) and Embrechts et al. (2013) propose the rearrangement algorithm (RA) as a general method to approximate VaR bounds when the default probabilit...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematics of Operations Research
سال: 2017
ISSN: 0364-765X,1526-5471
DOI: 10.1287/moor.2016.0790