Portfolio Choice with Market-Credit-Risk Dependencies.
Lijun BoAgostino CapponiPublished in: SIAM J. Control. Optim. (2018)
Keyphrases
- credit risk
- financial data
- listed companies
- credit risk evaluation
- evaluation method
- convertible bonds
- credit scoring
- risk analysis
- decision making
- commercial banks
- stock market
- stock price
- exchange rate
- stock exchange
- credit card
- fraud detection
- evaluation model
- anomaly detection
- multi class
- pattern recognition
- data mining