This paper develops rare event simulation methods for the estimation of portfolio credit risk -- the risk of losses to a portfolio resulting from defaults of assets in the portfol...
This paper introduces a financial hedging model for global environment risks. Our approach is based on portfolio insurance under hedging constraints. Investors are assumed to maxi...
We study a stochastic optimization problem that has its roots in financial portfolio design. The problem has a specified deterministic objective function and constraints on the co...
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, bonds and other financial assets. One particular performance measure of interes...
“Don’t put all your eggs in one basket” is common wisdom with respect to financial portfolio theory. The configuration of customer portfolios with regard to appropriate risk...