Discovery of Risk-Return Efficient Structures in Middle-Market Credit Portfolios

  • Frank Schlottmann
  • Detlef Seese
Part of the Studies in Classification, Data Analysis, and Knowledge Organization book series (STUDIES CLASS)


We discuss a hybrid approach that combines Multi-Objective Evolutionary Algorithms and quantitative methods of portfolio credit risk management to support the discovery of downside risk-return efficient structures in middle-market credit portfolios. In an empirical study, we compare the performance of the solutions discovered by our hybrid method to the solutions found by a corresponding non-hybrid algorithm on two different real-world loan portfolios.


Local Search Credit Risk Capital Budget Banking Supervision Credit Risk Model 
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Copyright information

© Springer-Verlag Berlin · Heidelberg 2005

Authors and Affiliations

  • Frank Schlottmann
    • 1
    • 2
  • Detlef Seese
    • 1
  1. 1.Institut für Angewandte Informatik und Formale BeschreibungsverfahrenUniversität Karlsruhe (TH)KarlsruheGermany
  2. 2.GILLARDON AG financial software, ResearchBrettenGermany

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