Liquidity tail risk and credit default swap spreads.
Felix IrresbergerGregor N. F. WeißJanet GabryschSandra GabryschPublished in: Eur. J. Oper. Res. (2018)
Keyphrases
- risk analysis
- credit risk
- portfolio optimization
- risk management
- risk evaluation
- credit scoring
- risk assessment
- graph cuts
- credit card
- evaluation method
- minimum risk
- portfolio management
- risk factors
- financial markets
- futures market
- data sets
- problems involving
- financial data
- risk averse
- factor analysis
- evolutionary algorithm
- extreme value theory
- bayesian networks