Abstract: 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 numerical example to demonstrate the effective of our models.

Key words: credit risk optimization, worst-case CVaR, linear optimization, second-order cone optimization