{"id":"https://openalex.org/W2092181454","doi":"https://doi.org/10.1007/s10479-006-0136-2","title":"Credit risk optimization using factor models","display_name":"Credit risk optimization using factor models","publication_year":2006,"publication_date":"2006-12-06","ids":{"openalex":"https://openalex.org/W2092181454","doi":"https://doi.org/10.1007/s10479-006-0136-2","mag":"2092181454"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-006-0136-2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-006-0136-2","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5061487757","display_name":"David Saunders","orcid":"https://orcid.org/0000-0002-0870-6644"},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]}],"countries":["CA"],"is_corresponding":true,"raw_author_name":"David Saunders","raw_affiliation_strings":["Department of Statistics and Actuarial Science, University of Waterloo, 200 University Avenue West Waterloo, West Waterloo, Ontario, Canada, N2L 3","Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Canada","Department of Statistics and Actuarial Science, University of Waterloo, West Waterloo, Canada","(University of Waterloo)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics and Actuarial Science, University of Waterloo, 200 University Avenue West Waterloo, West Waterloo, Ontario, Canada, N2L 3","institution_ids":["https://openalex.org/I151746483"]},{"raw_affiliation_string":"Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Canada","institution_ids":["https://openalex.org/I151746483"]},{"raw_affiliation_string":"Department of Statistics and Actuarial Science, University of Waterloo, West Waterloo, Canada","institution_ids":["https://openalex.org/I151746483"]},{"raw_affiliation_string":"(University of Waterloo)","institution_ids":["https://openalex.org/I151746483"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5008131816","display_name":"Costas Xiouros","orcid":"https://orcid.org/0000-0003-0878-8480"},"institutions":[{"id":"https://openalex.org/I1174212","display_name":"University of Southern California","ror":"https://ror.org/03taz7m60","country_code":"US","type":"education","lineage":["https://openalex.org/I1174212"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Costas Xiouros","raw_affiliation_strings":["Marshall School of Business at the University of Southern California, Southern California, USA","Marshall School of Business at the University of Southern California"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Marshall School of Business at the University of Southern California, Southern California, USA","institution_ids":["https://openalex.org/I1174212"]},{"raw_affiliation_string":"Marshall School of Business at the University of Southern California","institution_ids":["https://openalex.org/I1174212"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5060322411","display_name":"Stavros A. Zenios","orcid":"https://orcid.org/0000-0001-7576-4898"},"institutions":[{"id":"https://openalex.org/I2802889516","display_name":"University of the Arts","ror":"https://ror.org/040w1dr55","country_code":"US","type":"education","lineage":["https://openalex.org/I2802889516"]},{"id":"https://openalex.org/I34771391","display_name":"University of Cyprus","ror":"https://ror.org/02qjrjx09","country_code":"CY","type":"education","lineage":["https://openalex.org/I34771391"]},{"id":"https://openalex.org/I79576946","display_name":"University of Pennsylvania","ror":"https://ror.org/00b30xv10","country_code":"US","type":"education","lineage":["https://openalex.org/I79576946"]}],"countries":["CY","US"],"is_corresponding":true,"raw_author_name":"Stavros A. Zenios","raw_affiliation_strings":["Department of Public and Business Administration, University of Cyprus, Nicosia, Cyprus","Financial Institutions Center, the Wharton School in Philadelphia, Philadelphia, PA, USA","Financial Institutions Center, the Wharton School in Philadelphia, Philadelphia, USA","University of Cyprus","the Wharton School in Philadelphia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Public and Business Administration, University of Cyprus, Nicosia, Cyprus","institution_ids":["https://openalex.org/I34771391"]},{"raw_affiliation_string":"Financial Institutions Center, the Wharton School in Philadelphia, Philadelphia, PA, USA","institution_ids":["https://openalex.org/I2802889516"]},{"raw_affiliation_string":"Financial Institutions Center, the Wharton School in Philadelphia, Philadelphia, USA","institution_ids":["https://openalex.org/I2802889516"]},{"raw_affiliation_string":"University of Cyprus","institution_ids":["https://openalex.org/I34771391"]},{"raw_affiliation_string":"the Wharton School in Philadelphia","institution_ids":["https://openalex.org/I79576946"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5008131816","https://openalex.org/A5060322411","https://openalex.org/A5061487757"],"corresponding_institution_ids":["https://openalex.org/I1174212","https://openalex.org/I151746483","https://openalex.org/I2802889516","https://openalex.org/I34771391","https://openalex.org/I79576946"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":0.8672,"has_fulltext":false,"cited_by_count":25,"citation_normalized_percentile":{"value":0.77893996,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":98},"biblio":{"volume":"152","issue":"1","first_page":"49","last_page":"77"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9977999925613403,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9894999861717224,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.7882041931152344},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6762706637382507},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5887253880500793},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5731546878814697},{"id":"https://openalex.org/keywords/theory-of-computation","display_name":"Theory of computation","score":0.5192092061042786},{"id":"https://openalex.org/keywords/credit-risk","display_name":"Credit risk","score":0.4817124009132385},{"id":"https://openalex.org/keywords/modern-portfolio-theory","display_name":"Modern portfolio theory","score":0.47986453771591187},{"id":"https://openalex.org/keywords/curse-of-dimensionality","display_name":"Curse of dimensionality","score":0.44433140754699707},{"id":"https://openalex.org/keywords/optimization-problem","display_name":"Optimization problem","score":0.44088155031204224},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2752686142921448},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2011696994304657},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.18778011202812195},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.14365702867507935},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.13289028406143188},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.1253330111503601}],"concepts":[{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.7882041931152344},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6762706637382507},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5887253880500793},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5731546878814697},{"id":"https://openalex.org/C24858836","wikidata":"https://www.wikidata.org/wiki/Q844718","display_name":"Theory of computation","level":2,"score":0.5192092061042786},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.4817124009132385},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.47986453771591187},{"id":"https://openalex.org/C111030470","wikidata":"https://www.wikidata.org/wiki/Q1430460","display_name":"Curse of dimensionality","level":2,"score":0.44433140754699707},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.44088155031204224},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2752686142921448},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2011696994304657},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.18778011202812195},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.14365702867507935},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.13289028406143188},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1253330111503601}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10479-006-0136-2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-006-0136-2","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:annopr:v:152:y:2007:i:1:p:49-77:10.1007/s10479-006-0136-2","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s10479-006-0136-2","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth","score":0.550000011920929}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":43,"referenced_works":["https://openalex.org/W157513211","https://openalex.org/W174162241","https://openalex.org/W249306890","https://openalex.org/W579592231","https://openalex.org/W1481020722","https://openalex.org/W1491718027","https://openalex.org/W1521544588","https://openalex.org/W1533819021","https://openalex.org/W1553648478","https://openalex.org/W1647779468","https://openalex.org/W1788645602","https://openalex.org/W1908216331","https://openalex.org/W1981121741","https://openalex.org/W1982899954","https://openalex.org/W2002736235","https://openalex.org/W2019291268","https://openalex.org/W2032410085","https://openalex.org/W2033058368","https://openalex.org/W2093115910","https://openalex.org/W2101021565","https://openalex.org/W2105973145","https://openalex.org/W2118320330","https://openalex.org/W2119057465","https://openalex.org/W2127327827","https://openalex.org/W2143881663","https://openalex.org/W2163504005","https://openalex.org/W2357029327","https://openalex.org/W2506941141","https://openalex.org/W2787147383","https://openalex.org/W3015241628","https://openalex.org/W3121958211","https://openalex.org/W3122318214","https://openalex.org/W3122885979","https://openalex.org/W3124407081","https://openalex.org/W4243316492","https://openalex.org/W4249513058","https://openalex.org/W4285719527","https://openalex.org/W4312286431","https://openalex.org/W6606973923","https://openalex.org/W6609403970","https://openalex.org/W6633601258","https://openalex.org/W6713166486","https://openalex.org/W6749992965"],"related_works":["https://openalex.org/W2342245948","https://openalex.org/W3198789915","https://openalex.org/W2113583687","https://openalex.org/W2396009620","https://openalex.org/W3141254748","https://openalex.org/W4387811153","https://openalex.org/W1589314636","https://openalex.org/W4312259442","https://openalex.org/W2489358856","https://openalex.org/W2498125471"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":3}],"updated_date":"2026-06-19T15:47:20.252518","created_date":"2025-10-10T00:00:00"}
