鲁棒信用风险优化的线性锥优化模型(英文)

Linear conic optimization models for robust credit risk optimization

考虑了具有强健性的信用风险优化问题.根据最差条件在值风险度量信用风险的方法,建立了信用风险优化问题的模型.由于信用风险的损失分布存在不确定性,考虑了两类不确定性区间,即箱子型区间和椭球型区间.把具有强健性的信用风险优化问题分别转化成线性规划问题和二阶锥规划问题.最后,通过一个信用风险问题的例子来说明此模型的有效性.

In this paper we deal with the credit risk optimization problem. We present a model based on the worst-case Conditional Value-at-Risk （CVaR） risk measure and the uncertainty for the credit risk loss distribution. Under the box uncertainty, we reformulate the model into a linear optimization problem. Furthermore, under the ellipsoidal uncertainty, we reformulate the model into a seconde-order cone optimization problem. Finally, we show a numericM example to demonstrate the effective of our models.