Wang, Zhi; Zhang, Xuan; Zhang, Zhekai; Sheng, Dachen - In: Borsa Istanbul Review 22 (2022) 1, pp. 69-76
The algorithm for optimization of a credit portfolio has not been fully demonstrated. This paper fills the gap in the … literature by presenting a general approach for optimizing a credit portfolio by minimizing the default risk of the entire … with a novel bivariate intensity model. A multi-objective genetic algorithm is introduced to optimize a credit portfolio …