Optimal Bond Portfolio under the BIS Rule and Optimization of Credit Risk

Korean Journal of Financial Studies 2005;34(2):123-152.
Published online May 31, 2005.

BIS기준과 신용위험을 고려한 최적 채권포트폴리오

김명직, 박순재

Key Words: 시뮬레이션기반 최적자산배분,신용포트폴리오,전술적 자산배분,조건부 VaR,Conditional Value at Risk,Credit Portfolio,CVaR,Simulation based optimal asset allocation,Tactical asset allocation,t-Copula 함수,t-Copula function

TOOLS

METRICS

Related articles in Korean J Financ Stud

Editorial Office: 6F, Korea Financial Investment Association Building
143, Uisadangdaero, Yeongdeungpo-gu, Seoul 07332, Korea
Tel: +82-2-783-2615 Fax: +82-2-783-6539 E-mail: office@e-kjfs.org