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Optimization strategies in credit portfolio management

Impacto

Ivorra, Benjamin and Mohammadi, Bijan and Ramos del Olmo, Ángel (2009) Optimization strategies in credit portfolio management. Journal of Global Optimization., 43 (2-3). pp. 415-427. ISSN 0925-5001

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Official URL: http://www.springerlink.com/openurl.asp?genre=journal&issn=0925-5001



Abstract

This paper focuses on the application of an original global optimization algorithm, based on the hybridization between a genetic algorithm and a semi-deterministic algorithm, for the resolution of various constrained optimization problems for realistic credit portfolios. Results are analyzed from a financial point of view in order to confirm their relevance.


Item Type:Article
Uncontrolled Keywords:Credit portfolio management; Risk measure; Global optimization; Genetic algorithm; Semi-deterministic algorithm
Subjects:Sciences > Mathematics > Operations research
ID Code:14535
Deposited On:08 Feb 2012 11:15
Last Modified:12 Jun 2015 07:38

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