Designing a credit portfolio optimization model in the banking industry using a meta-innovative algorithm

Subject Areas : Financial engineering

ali asghar tehrani poor ¹ , Ebrahim Abbasi ² , Hosein Didehkhani ³ , arash naderian ⁴

1 - Department of Financial Engineering, Aliabad Katul Branch, Islamic Azad University, Aliabad Katul, Iran
2 - Department of Financial Management, Faculty of Social and Economic Sciences, Al-Zahra University, Tehran, Iran
3 - Department of Accounting, Aliabad Katul Branch, Islamic Azad University, Aliabad Katul, Iran.
4 - Department of Accounting, Aliabad Katul Branch, Islamic Azad University, Aliabad Katul, Iran.

Received: 2021-08-28 Accepted : 2021-10-03 Published : 2022-03-21

Keywords: "Banking Industry", "Portfolio Optimization", "Fuzzy Credit Theory", "Multipurpose Particle Swarm Optimization Algorithm",

Abstract :

The purpose of this study is to design a credit portfolio optimization model in the banking industry using a meta-innovative algorithm. Risk is one of the basic concepts in financial markets that has a certain complexity. Due to the lack of a clear picture of risk realization, financial markets need risk control and management approaches. The present study is a descriptive survey in terms of data collection and applied in terms of purpose. The statistical population of this research includes all facility files of the last 10 years as well as the financial statements of Ansar Bank branches affiliated to Sepah Bank, which were selected by census method. The risk criteria used in the models are: fuzzy risk value, absolute value of fuzzy downward deviations and half entropy. Research models were implemented using multi-objective particle swarm optimization algorithm. The software used in conducting research is MATLAB software. The results show that the performance of the fuzzy risk-averaged model is better than the other two models in evaluating optimal portfolios. Therefore, the use of the above model in credit basket optimization is recommended.