Matches in SemOpenAlex for { <https://semopenalex.org/work/W2768832005> ?p ?o ?g. }
Showing items 1 to 98 of
98
with 100 items per page.
- W2768832005 endingPage "828" @default.
- W2768832005 startingPage "815" @default.
- W2768832005 abstract "Non-traded financial assets like bonds and loans have credit risk quantification methods and models which are still under debate for their effectiveness. Quantifying credit risk in portfolio context is all the more challenging as it incorporates covariance and weights. This article quantifies credit risk prevalent in non-traded financial assets by applying Transition Probabilities and Mahalanobis distance in the portfolio context. Bonds are rated by rating agencies and when the credit rating drops the bonds lose value as there is higher risk for the investors. The Investors and lenders have to assess the collective loss expected by them if rating migrates in portfolio context. This portfolio credit risk is affected by two parameters covariance and proportion of funds invested (weight) in a particular bond. We chose a real bond portfolio invested by a Malaysian mutual fund company and demonstrate the complex computations through soft computing by a MATLAB algorithm compiled by us. We computed the credit risk by classical weighted average method and also by Mahalanobis Distance method. The results show the classical method underestimate the credit risk leading to suboptimal hedging." @default.
- W2768832005 created "2017-12-04" @default.
- W2768832005 creator A5065406362 @default.
- W2768832005 creator A5077765905 @default.
- W2768832005 creator A5090229989 @default.
- W2768832005 date "2017-11-25" @default.
- W2768832005 modified "2023-09-25" @default.
- W2768832005 title "Soft Computing of Credit Risk of Bond Portfolios" @default.
- W2768832005 cites W1533819021 @default.
- W2768832005 cites W2062527942 @default.
- W2768832005 cites W2065106919 @default.
- W2768832005 cites W2109516041 @default.
- W2768832005 cites W2113832560 @default.
- W2768832005 cites W2114094508 @default.
- W2768832005 cites W2127589278 @default.
- W2768832005 cites W2153748250 @default.
- W2768832005 cites W2214861223 @default.
- W2768832005 cites W2511938205 @default.
- W2768832005 cites W3122757784 @default.
- W2768832005 cites W3123829312 @default.
- W2768832005 cites W4244548826 @default.
- W2768832005 cites W4312400616 @default.
- W2768832005 cites W652819347 @default.
- W2768832005 doi "https://doi.org/10.1007/978-981-10-5687-1_73" @default.
- W2768832005 hasPublicationYear "2017" @default.
- W2768832005 type Work @default.
- W2768832005 sameAs 2768832005 @default.
- W2768832005 citedByCount "1" @default.
- W2768832005 countsByYear W27688320052018 @default.
- W2768832005 crossrefType "book-chapter" @default.
- W2768832005 hasAuthorship W2768832005A5065406362 @default.
- W2768832005 hasAuthorship W2768832005A5077765905 @default.
- W2768832005 hasAuthorship W2768832005A5090229989 @default.
- W2768832005 hasConcept C10138342 @default.
- W2768832005 hasConcept C106159729 @default.
- W2768832005 hasConcept C112846952 @default.
- W2768832005 hasConcept C139719470 @default.
- W2768832005 hasConcept C144133560 @default.
- W2768832005 hasConcept C1453916 @default.
- W2768832005 hasConcept C149782125 @default.
- W2768832005 hasConcept C151730666 @default.
- W2768832005 hasConcept C154945302 @default.
- W2768832005 hasConcept C162118730 @default.
- W2768832005 hasConcept C162324750 @default.
- W2768832005 hasConcept C165029466 @default.
- W2768832005 hasConcept C178350159 @default.
- W2768832005 hasConcept C1921717 @default.
- W2768832005 hasConcept C205208723 @default.
- W2768832005 hasConcept C24308983 @default.
- W2768832005 hasConcept C2778300220 @default.
- W2768832005 hasConcept C2779343474 @default.
- W2768832005 hasConcept C2780821815 @default.
- W2768832005 hasConcept C41008148 @default.
- W2768832005 hasConcept C44309892 @default.
- W2768832005 hasConcept C69738904 @default.
- W2768832005 hasConcept C86803240 @default.
- W2768832005 hasConceptScore W2768832005C10138342 @default.
- W2768832005 hasConceptScore W2768832005C106159729 @default.
- W2768832005 hasConceptScore W2768832005C112846952 @default.
- W2768832005 hasConceptScore W2768832005C139719470 @default.
- W2768832005 hasConceptScore W2768832005C144133560 @default.
- W2768832005 hasConceptScore W2768832005C1453916 @default.
- W2768832005 hasConceptScore W2768832005C149782125 @default.
- W2768832005 hasConceptScore W2768832005C151730666 @default.
- W2768832005 hasConceptScore W2768832005C154945302 @default.
- W2768832005 hasConceptScore W2768832005C162118730 @default.
- W2768832005 hasConceptScore W2768832005C162324750 @default.
- W2768832005 hasConceptScore W2768832005C165029466 @default.
- W2768832005 hasConceptScore W2768832005C178350159 @default.
- W2768832005 hasConceptScore W2768832005C1921717 @default.
- W2768832005 hasConceptScore W2768832005C205208723 @default.
- W2768832005 hasConceptScore W2768832005C24308983 @default.
- W2768832005 hasConceptScore W2768832005C2778300220 @default.
- W2768832005 hasConceptScore W2768832005C2779343474 @default.
- W2768832005 hasConceptScore W2768832005C2780821815 @default.
- W2768832005 hasConceptScore W2768832005C41008148 @default.
- W2768832005 hasConceptScore W2768832005C44309892 @default.
- W2768832005 hasConceptScore W2768832005C69738904 @default.
- W2768832005 hasConceptScore W2768832005C86803240 @default.
- W2768832005 hasLocation W27688320051 @default.
- W2768832005 hasOpenAccess W2768832005 @default.
- W2768832005 hasPrimaryLocation W27688320051 @default.
- W2768832005 hasRelatedWork W2204573785 @default.
- W2768832005 hasRelatedWork W2287284903 @default.
- W2768832005 hasRelatedWork W2498671401 @default.
- W2768832005 hasRelatedWork W2606431371 @default.
- W2768832005 hasRelatedWork W2768832005 @default.
- W2768832005 hasRelatedWork W3124046915 @default.
- W2768832005 hasRelatedWork W4317535491 @default.
- W2768832005 hasRelatedWork W565236627 @default.
- W2768832005 hasRelatedWork W638799037 @default.
- W2768832005 hasRelatedWork W1733073949 @default.
- W2768832005 isParatext "false" @default.
- W2768832005 isRetracted "false" @default.
- W2768832005 magId "2768832005" @default.
- W2768832005 workType "book-chapter" @default.