Take it to the limit: innovative CVaR applications to extreme credit risk measurement

DOI10.1016/j.ejor.2014.12.017zbMath1346.91246OpenAlexW2067031490MaRDI QIDQ320976

A. K. Singh, R. J. Powell, David E. Allen

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2014.12.017

zbMATH Keywords

credit riskconditional value at riskuncertainty modelingcapital buffersconditional probability of default

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (7)

Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics ⋮ Firm value and the impact of operational management ⋮ Coordinating Supply Chain with Buy-Back Contracts in the Presence of Risk Aversion ⋮ A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations ⋮ Economic lot sampling inspection from defect counts with minimum conditional value-at-risk ⋮ Strategic fire-sales and price-mediated contagion in the banking system ⋮ Risk-theoretic optimal design of output-feedback controllers via iterative convex relaxations

Uses Software

• CAViaR
• QRM
• RiskMetrics

Cites Work

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• Quantile regression for modelling distributions of profit and loss
• Coherent Measures of Risk
• Regression Quantiles
• Stability analysis of portfolio management with conditional value-at-risk
• Credit risk optimization with conditional Value-at-Risk criterion

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