Mathematics
2 years ago

Optimizing Credit Risk with Cutting-Edge CVaR Techniques: A Game Changer!

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New Trends and Issues Proceedings on Humanities and Social Sciences
Application of conditional value at risk for credit risk optimization
Mária Mišanková, Erika Spuchľáková

Paper Summary

The article discusses how Conditional Value at Risk (CVaR) can be used to optimize credit risk. CVaR is a measure that helps predict extreme losses in financial markets. By using Monte Carlo simulations and linear programming, the researchers were able to minimize CVaR in a portfolio of bonds. This method can help manage risk and improve financial decision-making.

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