A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations-Reference-Cited by-同舟云学术

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A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations

Published:2020-03-13 Issue:1-2 Volume:299 Page:659-710
ISSN:0254-5330
Container-title:Annals of Operations Research
language:en
Short-container-title:Ann Oper Res

Author:

Yan Dawen,Zhang Xiaohui,Wang Mingzheng

Funder

National Natural Science Foundation of China

China Postdoctoral Science Foundation

the development Foundation of teaching and scientific research for teachers of Liberal Arts in Zhejiang University.

Science Fund for Creative Research Groups

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,General Decision Sciences

Link

http://link.springer.com/content/pdf/10.1007/s10479-020-03571-2.pdf

Reference71 articles.

1. Alexander, S., Coleman, T. F., & Li, Y. (2006). Minimizing CVaR and VaR for a portfolio of derivatives. Journal of Banking & Finance, 30(2), 583–605.

2. Allen, D., Powell, R., & Singh, A. (2016). Take it to the limit: Innovative CVaR applications to extreme credit risk measurement. European Journal of Operational Research, 249(2), 465–475.

3. Alti, A., & Titman, S. (2019). A dynamic model of characteristic-based return predictability. The Journal of Finance, 74(6), 3187–3216.

4. Altman, E. I. (1998). The importance and subtlety of credit rating migration. Journal of Banking & Finance, 22, 1231–1247.

5. Altman, E. I., Bharath, S. T., & Saunders, A. (2002). Credit ratings and the BIS capital adequacy reform agenda. Journal of Banking & Finance, 26(5), 909–921.

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