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

Document Type : Research Paper

Authors

1 PhD student, Department of Financial Engineering, Qazvin Branch, Islamic Azad University, Iran

2 PhD in Industrial Management, Faculty of Management and Economics, Azad University, Science and Research Branch, Tehran, Iran

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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References

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Financial Management Strategy
Volume 7, Issue 4 - Serial Number 27
January 2019
Pages 125-150

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History

  • Receive Date: 15 February 2019
  • Revise Date: 08 June 2019
  • Accept Date: 12 June 2019

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