A Factor Model for the Calculation of Portfolio Credit VaR.
Ping LiXiaoxu WangHaibo WangPublished in: ITQM (2013)
Keyphrases
- var model
- credit scoring
- decision making
- impulse response
- stock index futures
- risk measures
- fraud detection
- portfolio selection
- portfolio optimization
- economic growth
- monte carlo simulation
- real world
- genetic algorithm
- database
- transaction costs
- robust optimization
- linear programming
- artificial intelligence
- data mining