Credit risk optimization using factor models

Annals of Operations Research

Volumn 152, Issue 1, 2007, Pages 49-77

  Saunders, David ^a   Xiouros, Costas ^b   Zenios, Stavros A ^c,d  

^a UNIVERSITY OF WATERLOO   (Canada)

^b UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^c UNIVERSITY OF CYPRUS   (Cyprus)

^d UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

Credit risk; Large portfolio approximation; Portfolio optimization

Indexed keywords

EID: 33847417508     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-006-0136-2     Document Type: Article

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