Based On The Cvar Robust Credit Portfolio Optimization

When the other party fails to repay its debt, the financial loss investors take is called credit risk. With the increasingly complicated financial market, the problem of how to manage credit risk for a better diversification of investment becomes more and more important.CreditMetrics provides a good quantitative method for the expected value of credit asset. But due to different methods of estimation and future economic uncertainty, variables like transition matrix, credit assets correlation and forward rate may take various values, so different distriutions of credit assets can be derived. This paper applied the robust investment strategy in credit assets by converting the distributional uncertainty to robust scenarios. And through empirical analysis, we compared robust optimal model with the traditional CVaR model to summarize the scope of the model. Sensitivity analysis was also carried out to effectively guide the investors on the investment decision of credit assets.