Optimization of Ansar bank's Customer Loan portfolio using genetic algorithm (Case study of Ansar Bank)

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Gharib Iman; Koosha Emad

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Paper Information

Journal: JOURNAL OF FINANCIAL MANAGEMENT STRATEGY Year:2020 | Volume:7 | Issue:27 Page(s): 147-164

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Information Journal Paper

Title

Optimization of Ansar bank's Customer Loan portfolio using genetic algorithm (Case study of Ansar Bank)

Author(s)

Gharib Iman | Koosha Emad | Issue Writer Certificate

Keywords

Loan Portfolio of the Bank's CustomersQ1

Minimize Loan RiskQ1

Linear ProgrammingQ1

Goal ProgrammingQ1

Genetic AlgorithmQ2

Abstract

Considering the possible restrictions on the provision of facilities, bank managers need to facilitate the decision-making process of allocating bank's funds in the form of Islamic facilities and contracts. It thus requires them to take into account the goals of optimizing the efficiency and minimizing default risk. In this research, three nonLinear Programming models (two objective functions and one objective function) and an ideal programming model were used to optimize the convenience portfolio of the Ansar bank. Given the number of constraints, the variables and the nature of the models, a Genetic Algorithm was used to solve the problem. In mathematical modeling, the problem of optimizing the loan portfolio of bank is considered to be policy limits, budget and capital adequacy. As the results showed, the optimal solution presented with the actual amount of the allocated facility to the bank's micro-banking group has difference in terms of profit and default risk. Also, these answers could improve the balance of facilities in the type of contracts and customer groups in relation to lending, along with other constraints. Among the models presented, a model that minimizes default risk in itself enjoyed the best performance compared to other introduced models.

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APA: Copy

Gharib, Iman, & Koosha, Emad. (2020). Optimization of Ansar bank's Customer Loan portfolio using genetic algorithm (Case study of Ansar Bank). JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, 7(27 ), 147-164. SID. https://sid.ir/paper/388606/en

Vancouver: Copy

Gharib Iman, Koosha Emad. Optimization of Ansar bank's Customer Loan portfolio using genetic algorithm (Case study of Ansar Bank). JOURNAL OF FINANCIAL MANAGEMENT STRATEGY[Internet]. 2020;7(27 ):147-164. Available from: https://sid.ir/paper/388606/en

IEEE: Copy

Iman Gharib, and Emad Koosha, “Optimization of Ansar bank's Customer Loan portfolio using genetic algorithm (Case study of Ansar Bank),” JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, vol. 7, no. 27 , pp. 147–164, 2020, [Online]. Available: https://sid.ir/paper/388606/en

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