Some properties of the maximum loss on loan portfolios

DOI10.1007/s10100-022-00837-xMaRDI QIDQ6536486

József Vörös

Publication date: 13 May 2024

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

zbMATH Keywords

optimizationmaximum lossloans

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

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• Minimizing loss probability bounds for portfolio selection
• Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
• Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
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• Asymptotic theory for rough fractional Vasicek models
• Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate
• Estimating dynamic equilibrium models using mixed frequency macro and financial data
• Quantile regression for modelling distributions of profit and loss
• Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation

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