{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,18]],"date-time":"2026-03-18T20:17:48Z","timestamp":1773865068745,"version":"3.50.1"},"publisher-location":"Berlin, Heidelberg","reference-count":31,"publisher":"Springer Berlin Heidelberg","isbn-type":[{"value":"9783540249832","type":"print"},{"value":"9783540318804","type":"electronic"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2005]]},"DOI":"10.1007\/978-3-540-31880-4_48","type":"book-chapter","created":{"date-parts":[[2010,7,5]],"date-time":"2010-07-05T21:08:20Z","timestamp":1278364100000},"page":"692-706","source":"Crossref","is-referenced-by-count":11,"title":["A Multi-objective Approach to Integrated Risk Management"],"prefix":"10.1007","author":[{"given":"Frank","family":"Schlottmann","sequence":"first","affiliation":[]},{"given":"Andreas","family":"Mitschele","sequence":"additional","affiliation":[]},{"given":"Detlef","family":"Seese","sequence":"additional","affiliation":[]}],"member":"297","reference":[{"key":"48_CR1","unstructured":"Basel Committee on Banking Supervision: Trends in risk integration and aggregation, Basel Committee on Banking Supervision (2003)"},{"key":"48_CR2","unstructured":"P\u00e9zier, J.: Application-Based Financial Risk Aggregation Methods. Discussion Papers in Finance\u00a011, ISMA Centre, University of Reading, UK (2003)"},{"key":"48_CR3","doi-asserted-by":"crossref","unstructured":"Kuritzkes, A., Schuermann, T., Weiner, S.: Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates. Working Paper, Wharton Financial Institutions Center (2002)","DOI":"10.1353\/pfs.2003.0005"},{"key":"48_CR4","unstructured":"Cumming, C.M., Hirtle, B.J.: The Challenges of Risk Management in Diversified Financial Companies. FRBNY Economic Policy Review (2001)"},{"key":"#cr-split#-48_CR5.1","unstructured":"Alexander, C., P??zier, J.: Assessment and Aggregation of Banking Risks. ISMA Centre, University of Reading, UK (2003);"},{"key":"#cr-split#-48_CR5.2","unstructured":"Presented at the 9th Annual Round Table of the International Financial Risk Institute"},{"key":"48_CR6","doi-asserted-by":"crossref","unstructured":"Alexander, C.: The Present, Future and Imperfect of Financial Risk Management. Discussion Papers in Finance, ISMA Centre, University of Reading, UK (2003)","DOI":"10.2139\/ssrn.478802"},{"key":"48_CR7","unstructured":"Basel Committee on Banking Supervision: International Convergence of Capital Measurement and Capital Standards - A Revised Framework, Basel Committee on Banking Supervision (2004)"},{"key":"48_CR8","doi-asserted-by":"crossref","unstructured":"Frey, R., McNeil, A.: VaR and expected shortfall in portfolios of dependent credit risks: conceptual and practical insights. Journal of Banking and Finance, 1317\u20131334 (2002)","DOI":"10.1016\/S0378-4266(02)00265-0"},{"key":"48_CR9","doi-asserted-by":"crossref","unstructured":"Artzner, P., Delbaen, F., Eber, J.M., Heath, D.: Coherent Measures of Risk. Mathematical Finance, 203\u2013228 (1999)","DOI":"10.1111\/1467-9965.00068"},{"key":"48_CR10","doi-asserted-by":"crossref","unstructured":"Rosenberg, J.V., Schuermann, T.: A General Approach to Integrated Risk Management with Skewed, Fat-Tailed Risks. Staff Report 185, Federal Reserve Bank of New York (2004)","DOI":"10.2139\/ssrn.545802"},{"key":"48_CR11","volume-title":"Value at risk","author":"P. Jorion","year":"2001","unstructured":"Jorion, P.: Value at risk, 2nd edn. McGraw-Hill, USA (2001)","edition":"2"},{"key":"48_CR12","volume-title":"Risk Management","author":"M. Crouhy","year":"2001","unstructured":"Crouhy, M., Galai, D., Mark, R.: Risk Management. McGraw-Hill, New York (2001)"},{"key":"48_CR13","volume-title":"An introduction to credit risk modeling","author":"C. Bluhm","year":"2003","unstructured":"Bluhm, C., Overbeck, L., Wagner, C.: An introduction to credit risk modeling. Chapman and Hall, Boca Raton (2003)"},{"key":"48_CR14","volume-title":"Modelling extremal events for insurance and finance","author":"P. Embrechts","year":"2003","unstructured":"Embrechts, P., Kluppelberg, C., Mikosch, T.: Modelling extremal events for insurance and finance. Springer, Berlin (2003)"},{"key":"48_CR15","volume-title":"Managing bank capital","author":"C. Matten","year":"2000","unstructured":"Matten, C.: Managing bank capital. John Wiley & Sons, Chichester (2000)"},{"key":"48_CR16","unstructured":"Aas, K., Dimakos, X.K.: Integrated Risk Modelling. NR Report, Norwegian Computing Center (2003)"},{"key":"48_CR17","doi-asserted-by":"crossref","unstructured":"Saita, F.: Risk Capital Aggregation: the Risk Manager\u2019s Perspective. Working Paper, Newfin Research Center and IEMIF (2004)","DOI":"10.2139\/ssrn.496684"},{"key":"48_CR18","doi-asserted-by":"publisher","first-page":"77","DOI":"10.2307\/2975974","volume":"7","author":"H. Markowitz","year":"1952","unstructured":"Markowitz, H.: Portfolio selection. Journal of Finance\u00a07, 77\u201391 (1952)","journal-title":"Journal of Finance"},{"key":"48_CR19","unstructured":"Seese, D., Schlottmann, F.: The building blocks of complexity: a unified criterion and selected applications in risk management, Complexity 2003: Complex behaviour in economics, Aix-en-Provence (2003), http:\/\/zai.ini.unizh.ch\/www_complexity2003\/doc\/Paper_Seese.pdf"},{"key":"48_CR20","doi-asserted-by":"crossref","unstructured":"Gaivoronski, A., Pflug, G.: Properties and computation of value-at-risk efficient portfolios based on historical data, Working paper, Trondheim University (2002)","DOI":"10.2139\/ssrn.302895"},{"key":"48_CR21","volume-title":"Multi-objective optimisation using evolutionary algorithms","author":"K. Deb","year":"2001","unstructured":"Deb, K.: Multi-objective optimisation using evolutionary algorithms. John Wiley & Sons, Chichester (2001)"},{"key":"48_CR22","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4757-5184-0","volume-title":"Evolutionary Algorithms for solving multi-objective problems","author":"C. Coello","year":"2002","unstructured":"Coello, C., Van Veldhuizen, D., Lamont, G.: Evolutionary Algorithms for solving multi-objective problems. Kluwer, New York (2002)"},{"key":"48_CR23","series-title":"Lecture Notes in Computer Science","doi-asserted-by":"publisher","first-page":"849","DOI":"10.1007\/3-540-45356-3_83","volume-title":"Parallel Problem Solving from Nature-PPSN VI","author":"K. Deb","year":"2000","unstructured":"Deb, K., Agrawal, S., Pratap, A., Meyarivan, T.: A fast elitist non-dominated sorting genetic algorithm for multi-objective optimisation: NSGA-II. In: Deb, K., Rudolph, G., Lutton, E., Merelo, J.J., Schoenauer, M., Schwefel, H.-P., Yao, X. (eds.) PPSN 2000. LNCS, vol.\u00a01917, pp. 849\u2013858. Springer, Heidelberg (2000)"},{"key":"48_CR24","doi-asserted-by":"crossref","first-page":"331","DOI":"10.1007\/978-0-8176-8180-7_9","volume-title":"Handbook on Numerical Methods in Finance","author":"F. Schlottmann","year":"2004","unstructured":"Schlottmann, F., Seese, D.: Modern heuristics for finance problems: a survey of selected methods and applications. In: Rachev, S., Marinelli, C. (eds.) Handbook on Numerical Methods in Finance, pp. 331\u2013360. Springer, Berlin (2004)"},{"key":"48_CR25","volume-title":"Handbook on Applications of Multi-Objective Evolutionary Algorithms","author":"F. Schlottmann","year":"2005","unstructured":"Schlottmann, F., Seese, D.: Financial applications of multi-objective evolutionary algorithms: Recent developments and future research. In: Coello-Coello, C., Lamont, G. (eds.) Handbook on Applications of Multi-Objective Evolutionary Algorithms. World Scientific, Singapore (2005)(To appear)"},{"key":"48_CR26","unstructured":"Gupton, G., Finger, C., Bhatia, M.: CreditMetrics. Technical report, JP Morgan & Co., New York (1997)"},{"key":"48_CR27","doi-asserted-by":"publisher","first-page":"119","DOI":"10.1016\/S0378-4266(99)00054-0","volume":"24","author":"M. Gordy","year":"2000","unstructured":"Gordy, M.: A comparative anatomy of credit risk models. Journal of Banking and Finance\u00a024, 119\u2013149 (2000)","journal-title":"Journal of Banking and Finance"},{"key":"48_CR28","doi-asserted-by":"publisher","first-page":"373","DOI":"10.1016\/j.csda.2003.11.016","volume":"47","author":"F. Schlottmann","year":"2004","unstructured":"Schlottmann, F., Seese, D.: A hybrid heuristic approach to discrete portfolio optimization. Computational Statistics and Data Analysis\u00a047, 373\u2013399 (2004)","journal-title":"Computational Statistics and Data Analysis"},{"key":"48_CR29","unstructured":"Hallerbach, W.G.: Capital Allocation, Portfolio Enhancement and Performance Measurement: A Unified Approach. Working Paper, Department of Finance, Erasmus University Rotterdam (2003)"},{"key":"48_CR30","unstructured":"Schlottmann, F., Seese, D.: A hybrid genetic-quantitative method for risk-return optimisation of credit portfolios. In: Chiarella, C., Platen, E., eds.: Quantitative Methods in Finance 2001 Conference abstracts. University of Technology, Sydney (2001), 55 Full paper: http:\/\/www.business.uts.edu.au\/finance\/resources\/qmf2001\/Schlottmann_F.pdf"}],"container-title":["Lecture Notes in Computer Science","Evolutionary Multi-Criterion Optimization"],"original-title":[],"link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/978-3-540-31880-4_48.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2020,11,19]],"date-time":"2020-11-19T04:30:31Z","timestamp":1605760231000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/978-3-540-31880-4_48"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2005]]},"ISBN":["9783540249832","9783540318804"],"references-count":31,"URL":"https:\/\/doi.org\/10.1007\/978-3-540-31880-4_48","relation":{},"ISSN":["0302-9743","1611-3349"],"issn-type":[{"value":"0302-9743","type":"print"},{"value":"1611-3349","type":"electronic"}],"subject":[],"published":{"date-parts":[[2005]]}}}