9 search results - page 2 / 2 » Nested Simulation in Portfolio Risk Measurement |
WSC
2004
13 years 7 months ago
2004
The distribution of possible future losses for a portfolio of credit risky corporate assets, such as bonds or loans, shows strongly asymmetric behavior and a fat tail as the conse...
MANSCI
2008
13 years 6 months ago
2008
Value-at-Risk (VaR) is one of the most widely accepted risk measures in the financial and insurance industries, yet efficient optimization of VaR remains a very difficult problem....
IMCSIT
2010
13 years 4 months ago
2010
The portfolio optimization problem is modeled as a mean-risk bicriteria optimization problem where the expected return is maximized and some (scalar) risk measure is minimized. In ...
EOR
2010
13 years 6 months ago
2010
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...