zbMATH — the first resource for mathematics

Optimization strategies in credit portfolio management. (English) Zbl 1169.90452
Summary: This paper focuses on the application of an original global optimization algorithm, based on the hybridization between a genetic algorithm and a semi-deterministic algorithm, for the resolution of various constrained optimization problems for realistic credit portfolios. Results are analyzed from a financial point of view in order to confirm their relevance.

90C30 Nonlinear programming
91B28 Finance etc. (MSC2000)
Full Text: DOI
[1] Bruyere, R.: Credit Derivatives and Structured Credit. Wiley Finance (2005)
[2] Benston G., Bromwich M., Litan R.E. and Wagenhofer A. (2003). Following the Money: The Enron Failure and the State of Corporate Disclosure. AEI-Brookings Joint Center For Regularity Studies, Washington, DC
[3] Rockafellar R.T. and Uryasev S. (2002). Conditional value-at-risk for general loss distributions. J. Bank.Finance 26: 1443–1471 · doi:10.1016/S0378-4266(02)00271-6
[4] Artzner P., Delbaen D., Eber J.M. and Heath D. (1999). Coherent measures of risk. Math. Finance 9: 203–228 · Zbl 0980.91042 · doi:10.1111/1467-9965.00068
[5] Uryasev S. and Rockafellar T (2002). Conditional value-at-risk for general loss distributions. J. Bank. Finance 26(7): 1443–1471 · doi:10.1016/S0378-4266(02)00271-6
[6] Goldberg, D.: Genetic Algorithms in Search, Optimization and Machine Learning. Addison Wesley (1989) · Zbl 0721.68056
[7] Ivorra, B.: Semi-deterministic global optimization. PhD. University of Montpellier 2 (2006) · Zbl 1110.76311
[8] Artzner P., Delbaen D., Eber J.M. and Heath D. (1997). Thinking coherently. RISK 10: 68–71
[9] Dumas L., Herbert V. and Muyl F. (2004). Hybrid method for aerodynamic shape optimization in automotive industry. Comput. Fluids 33(5): 849–858 · Zbl 1047.76102 · doi:10.1016/j.compfluid.2003.06.007
[10] Ivorra B., Mohammadi B., Santiago D.E. and Hertzog J.G. (2006). Semi-deterministic and genetic algorithms for global optimization of microfluidic protein folding devices. Int. J. Numer. Meth. Eng. 66(2): 319–333 · Zbl 1110.76311 · doi:10.1002/nme.1562
[11] Ivorra B., Mohammadi B., Dumas L., Durand O. and Redont P. (2006). Semi-deterministic vs. genetic algorithms for global optimization of multichannel optical filters. Int. J. Comput. Sci. Eng. 2(3): 170–178 · doi:10.1504/IJCSE.2006.012769
[12] Ivorra, B., Ramos Del Olmo, A.M., Mohammadi, B.: A semi-deterministic global optimization method. Application to a control problem of the burgers equation, comparing with other methods. J. Optim. Theory Appl. 135(1), to be published (2007)
[13] Glasserman, P.: Monte Carlo Methods in Financial Engineering. Springer-Verlag (2003) · Zbl 1038.91045
[14] Schönbucher, P.J.: Credit Derivatives Pricing Models. Wiley Finance (2003)
[15] Sellers, M., Davidson, A.: Modelling Default Risk: Private Firm Model. KMV Corporation (1998)
[16] Nash J.C. (1980). Compact Numerical Methods for Computers: Linear Algebra and Function Minimization, 2nd edn. Adam Hilger, Bristol, England · Zbl 0434.65003
[17] Nelsen, R.: An Introduction to Copulas. Springer-Verlag (1999) · Zbl 0909.62052
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.