EOR
2010
13 years 4 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...
WSC
2008
13 years 6 months ago
2008
We consider a portfolio allocation problem where the objective function is a tail event such as probability of large portfolio losses. The dependence between assets is captured th...