Hedging Market and Credit Risk in Corporate Bond Portfolios

DOI10.1007/978-1-4419-9586-5_4zbMath1405.91674OpenAlexW2142275504MaRDI QIDQ4613812

Gaetano Iaquinta, Antonio Violi, Francesco de Simone, Giorgio Consigli, Patrizia Beraldi

Publication date: 25 January 2019

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4419-9586-5_4

zbMATH Keywords

multistage stochastic programmingcredit riskbond portfolio optimization

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10) Credit risk (91G40)

Related Items (1)

Medium range optimization of copper extraction planning under uncertainty in future copper prices

Cites Work

• Dynamic stochastic programming for asset-liability management
• Scenario reduction algorithms in stochastic programming
• On the simulation of portfolios of interest rate and credit risk sensitive securities
• Financial scenario generation for stochastic multi-stage decision processes as facility location problems
• Coherent Measures of Risk
• A Theory of the Term Structure of Interest Rates
• Path-dependent scenario trees for multistage stochastic programmes in finance
• Scenarios for multistage stochastic programs
• Scenario tree generation for multiperiod financial optimization of optimal discretization
• Credit risk optimization with conditional Value-at-Risk criterion
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