Credit risk optimization with Conditional Value-at-Risk criterion

被引:208
作者
Andersson, F
Mausser, H
Rosen, D
Uryasev, S
机构
[1] Ementor, S-11129 Stockholm, Sweden
[2] Algorithm Inc, Toronto, ON M5T 2C6, Canada
[3] Univ Florida, Dept Ind & Syst Engn, Gainesville, FL 32611 USA
关键词
Mathematics Subject Classification (1991): 20E28, 20G40, 20C20;
D O I
10.1007/PL00011399
中图分类号
TP31 [计算机软件];
学科分类号
081202 ; 0835 ;
摘要
This paper examines a new approach for credit risk optimization. The model is based on the Conditional Value-at-Risk (CVaR) risk measure, the expected loss exceeding Value-at-Risk. CVaR is also known as Mean Excess, Mean Shortfall, or Tail VaR. This model can simultaneously adjust all positions in a portfolio of financial instruments in order to minimize CVaR subject to trading and return constraints. The credit risk distribution is generated by Monte Carte simulations and the optimization problem is solved effectively by linear programming. The algorithm is very efficient; it can handle hundreds of instruments and thousands of scenarios in reasonable computer time. The approach is demonstrated with a portfolio of emerging market bonds.
引用
收藏
页码:273 / 291
页数:19
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