Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution
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DOI: 10.1287/mnsc.2019.3378
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Cited by:
- Bernd Engelmann & Ha Pham, 2020. "A Raroc Valuation Scheme for Loans and Its Application in Loan Origination," Risks, MDPI, Open Access Journal, vol. 8(2), pages 1-20, June.
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Keywords
pricing; revenue management; credit risk; marginal risk; value at risk; conditional value at risk; willingness to pay; mixed-integer nonlinear stochastic programming;All these keywords.
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