Title :
Efficient risk/return frontiers for credit risk
Author :
Mausser, Helmut ; Rosen, Dan
Author_Institution :
Algorithmics Inc., Toronto, Ont., Canada
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;
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
DOI :
10.1109/CIFER.2000.844605
