Credit risk optimization with Conditional Value-at-Risk criterion

By Fredrik Andersson, Helmut E. Mausser, Dan Rosen, Stanislav Uryasev. Mathematical programming, 2001

332 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/49f72924d8045d6460676139582cba22e6ef8dea

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Citations in the corpus

Optimization of conditional value-at risk (2000, methodology): “A case study on application of the CVaR methodology to the credit risk is described by Andersson and Uryasev (1999). Similar measures as CVaR have been earlier introduced in the stochastic programming literature, although not in financial mathematics context.”
What are robust strategies in the face of uncertain climate threshold responses? (2012, background): “…CVaR is also known as the Mean Excess Loss or Mean Shortfall, and has been previously applied to risk analysis in the energy sector (Fortin et al. 2007), the crop insurance industry (Liu et al. 2008), and financial markets (Andersson et al. 2001; Alexander et al. 2006; Quaranta and Zaffaroni 2008).”
Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009, methodology): “The four sectoral sub-indices of Hang Seng Index of Hong Kong Stock Exchange (SEHK): (1) Hang Seng Finance Index (HSNF), (2) Hang Seng Utilities Index (HSNU), (3) Hang Seng Property Index (HSNP), and (4) Hang Seng Commercial/Industrial Index (HSNC), are chosen as the financial assets to construct th”
Robust self-scheduling under price uncertainty using conditional value-at-risk (2005, methodology): “To simplify the optimization problem in (12), can be approximated by sampling the probability distribution of according to its density [10], [16].”
Robust Portfolio Selection Problems (2003, background): “Recently there has been a growing interest in imposing VaR-type constraints while optimizing credit risk (Kast et al. 1998, Mausser and Rosen 1999, Andersson et al. 2001).”
Portfolio Optimization with Drawdown Constraints (2000, neutral): “Also, the CVaR minimization approach was applied to credit risk management of a portfolio of bonds [1].”
ALGORITHMS FOR OPTIMIZATION OF VALUE AT-RISK* (2002, methodology): “Starting with the optimal portfolio obtained when applying the minimum CVaR approach as described in [ 3 ], we then systematically reduce VaR of the portfolio by solving a series of CVaR problems using linear programming techniques.”
Value-at-Risk in Portfolio Optimization: Properties and Computational Approach ⁄ (2005, background): “The relevant literature includes Andersson and Uryasev[4], Basak and Schapiro[6], Gaivoronski and PÀug[16], Grootveld and Hallerbach[18], Medova 98 [25], Uryasev and Rockafellar [32].”
Stability analysis of portfolio management with conditional value-at-risk (2007, methodology): “[2] for credit risk optimization.”
Dual stochastic dominance and quantile risk measures (2002, background): “Although valid for many continuous distributions (Andersson et al., 2001) equation (17), in general, cannot serve as a definition of the worst conditional expectation because such that PfR(x) < g 1⁄4 p need not exist.”
Portfolio optimization with conditional value-at-risk objective and constraints (2001, methodology): “Also, the CVaR minimization approach was applied to credit risk management of a portfolio of bonds [1].”