Credit risk optimization with conditional Value-at-Risk criterion (Q5944954)
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scientific article; zbMATH DE number 1655720
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Credit risk optimization with conditional Value-at-Risk criterion |
scientific article; zbMATH DE number 1655720 |
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Credit risk optimization with conditional Value-at-Risk criterion (English)
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10 October 2002
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credit risk optimization
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portfolio
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Monte Carlo simulations
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linear programming
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