Modelos de otimização para administração de risco de credito baseados nos conceitos de Basileia II

AUTOR(ES)

Gedson Oliveira Santos

DATA DE PUBLICAÇÃO

2005

RESUMO

Credit risk management requires sophisticated models and techniques in the decision making process. It is an area with few academic works, and that makes it a vast field for research. The Continuous Optimization technique offers an excellent opportunity for the development of new approaches. Based on that technique, and using the concepts of Basel II, this work develops instruments for the optimization of credit portfolios, which can effectively reorganize them, with minimization of risks and concentrations and maximization of returns. To reach our objective, we use Mathematical Programming techniques that work with continuous variables such as Linear Programming, Parametric Linear Programming and Convex Quadratic Programming

ASSUNTO(S)

administração de risco otimização programação linear programação quadratica

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