Credit portfolio management using two-level particle swarm optimization

Lu, Fuqiang; Huang, Min; Ching, Wai‐Ki; Siu, Tak Kuen

doi:10.1016/j.ins.2013.03.005

Cited by 27 publications

(16 citation statements)

References 38 publications

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“…They apply a heuristic algorithm to minimize both VaR and expected shortfall while various approximations to the conditional portfolio loss distribution are considered. Lu et al [2013] propose to solve CRM by applying a novel two-level PSO (TLPSO) algorithm. The objective is to optimize the maximum value of expected loss from a credit portfolio with a budget constraint for the consulting cost.…”

Section: Credit Risk Managementmentioning

confidence: 99%

A Survey on Financial Applications of Metaheuristics

2017

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Modern heuristics or metaheuristics are optimization algorithms that have been increasingly used during the last decades to support complex decision making in a number of fields, such as logistics and transportation, telecommunication networks, bioinformatics, finance, etc. The continuous increase in computing power, together with advancements in metaheuristics frameworks and parallelization strategies, are empowering these types of algorithms as one of the best alternatives to solve rich and reallife combinatorial optimization problems that arise in a number of financial and banking activities. This paper reviews some of the works related to the use of metaheuristics in solving both classical and emergent problems in the finance arena. A non-exhaustive list of examples includes rich portfolio optimization, index tracking, enhanced indexation, credit risk, stock investments, financial project scheduling, option pricing, feature selection, bankruptcy and financial distress prediction, and credit risk assessment. The paper also discusses some open opportunities for researchers in the field, and forecast the evolution of metaheuristics to include real-life uncertainty conditions into the optimization problems being considered.• Applied computing➝Operational research➝Decision analysis • Applied computing➝Law, social and behavioral sciences➝Economics.

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Section: Credit Risk Managementmentioning

confidence: 99%

A Survey on Financial Applications of Metaheuristics

2017

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“…A probabilidade de não ocorrência desse pagamento no futuro e as consequentes perdas do emprestador são os fatores que geram a necessidade de desenvolvimento de modelos para análise e concessão de crédito. Dada a quantidade de operações e o volume envolvido, a gestão de carteiras de crédito é um tema recorrente em finanças corporativas e bancárias, sendo, tais carteiras, foco de constantes esforços de otimização (Lu, Huang, Ching & Siu, 2013). Uma das principais atividades da gestão da carteira de crédito é a previsão de insolvência, também conhecida como previsão de default de crédito.…”

Section: Introductionunclassified

Desempenho financeiro como critério de decisão para seleção modelos de análise e concessão de crédito

Silva

Ara

Ribeiro

2017

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“…In this study, based on the traditional particle swarm optimization (PSO) which is a widely used intelligent optimization algorithm, but has to suffer from some defects such as the premature convergence problem due to trap into local optimal areas, or the lack of diversity [1,2], a new organization structure for these particles is constructed. The idea of recognizing the unknown fault patterns is inspired by the competition of multiple teams for the optimal decision; the particles are redefined as members that divided into three levels, which include staffs belonging to majority, leaders belonging to minority, and the only boss.…”

Section: Introductionmentioning

confidence: 99%