Credit risk optimization with Conditional Value-at-Risk criterion

• 1 January 2001
• journal article
• research article
• Published by Springer Nature in Mathematical Programming
• Vol. 89  (2) , 273-291
• https://doi.org/10.1007/pl00011399

Abstract

Keywords

• MATHEMATICS SUBJECT CLASSIFICATION (1991): 20E28
• 20G40
• 20C20