DocumentCode
2028559
Title
Efficient risk/return frontiers for credit risk
Author
Mausser, Helmut ; Rosen, Dan
Author_Institution
Algorithmics Inc., Toronto, Ont., Canada
fYear
2000
fDate
2000
Firstpage
82
Lastpage
85
Abstract
We construct efficient credit risk frontiers for a portfolio of bonds issued in emerging markets, using not only the variance but also quantile-based risk measures such as expected shortfall, maximum (percentile) losses and unexpected (percentile) losses. Our results demonstrate that minimizing variance yields portfolios that are far from efficient with respect to the standard quantile-based measures of credit risk
Keywords
risk management; securities trading; bond portfolio; credit risk; efficient risk/return frontiers; emerging markets; expected shortfall; maximum losses; quantile-based risk measures; unexpected losses; variance; Distributed computing; Gain measurement; Linear programming; Loss measurement; Measurement standards; Optimization methods; Particle measurements; Portfolios; Probability distribution; Risk management;
fLanguage
English
Publisher
ieee
Conference_Titel
Computational Intelligence for Financial Engineering, 2000. (CIFEr) Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on
Conference_Location
New York, NY
Print_ISBN
0-7803-6429-5
Type
conf
DOI
10.1109/CIFER.2000.844605
Filename
844605
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