文件名称：credit risk optimization with conditional VaR criterion.pdf
文件大小：99KB
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更新时间：2023-11-12 07:41:46
CVaR
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.