Discovery of Risk-Return Efficient Structures in Middle-Market Credit Portfolios
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.
KeywordsLocal Search Credit Risk Capital Budget Banking Supervision Credit Risk Model
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