Credit portfolio optimization: A multi-objective genetic algorithm approach
The algorithm for optimization of a credit portfolio has not been fully demonstrated. This paper fills the gap in the literature by presenting a general approach for optimizing a credit portfolio by minimizing the default risk of the entire portfolio. Default risk is measured with quadratic weightin...
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| Veröffentlicht in: | Borsa Istanbul Review Jg. 22; H. 1; S. 69 - 76 |
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Elsevier B.V
01.01.2022
Elsevier |
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| Abstract | The algorithm for optimization of a credit portfolio has not been fully demonstrated. This paper fills the gap in the literature by presenting a general approach for optimizing a credit portfolio by minimizing the default risk of the entire portfolio. Default risk is measured with quadratic weighting and a matrix containing information about the default intensity of two stocks and the correlation in default between them. The default correlation and the default intensity are represented with a novel bivariate intensity model. A multi-objective genetic algorithm is introduced to optimize a credit portfolio with the purpose of overcoming limitations in the analytical method and improving the efficiency of optimization. The algorithm can be applied to a portfolio's credit risk management, which is particularly crucial for investors and regulars in emerging markets. |
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| AbstractList | The algorithm for optimization of a credit portfolio has not been fully demonstrated. This paper fills the gap in the literature by presenting a general approach for optimizing a credit portfolio by minimizing the default risk of the entire portfolio. Default risk is measured with quadratic weighting and a matrix containing information about the default intensity of two stocks and the correlation in default between them. The default correlation and the default intensity are represented with a novel bivariate intensity model. A multi-objective genetic algorithm is introduced to optimize a credit portfolio with the purpose of overcoming limitations in the analytical method and improving the efficiency of optimization. The algorithm can be applied to a portfolio's credit risk management, which is particularly crucial for investors and regulars in emerging markets. |
| Author | Sheng, Dachen Wang, Zhi Zhang, Xuan Zhang, ZheKai |
| Author_xml | – sequence: 1 givenname: Zhi surname: Wang fullname: Wang, Zhi organization: International Business School, Gengdan Institute of Beijing University of Technology, China – sequence: 2 givenname: Xuan surname: Zhang fullname: Zhang, Xuan email: xuanzhang.nanking@gmail.com organization: Institute of Economics and Finance, Nanjing Audit University, China – sequence: 3 givenname: ZheKai surname: Zhang fullname: Zhang, ZheKai organization: Institute of Economics and Finance, Nanjing Audit University, China – sequence: 4 givenname: Dachen orcidid: 0000-0001-8617-2214 surname: Sheng fullname: Sheng, Dachen organization: International Business School, Gengdan Institute of Beijing University of Technology, China |
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| Keywords | Multi-objective genetic algorithm Heuristic optimization G11 Credit portfolio optimization C61 |
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