چکیده:
Banks face credit risk in the process of providing facilities based on the amount of resources provided. In the meantime, facility portfolio management can be effective in reducing credit risk by optimally allocating resources to economic sectors. In this research, the portfolio of Sina Bank's facilities is determined by using the Markowitz modern portfolio model and meta-heuristic algorithms of genetics and firefly. Comparing the performance of the models indicates the greatest efficiency of the genetic algorithm model in optimizing the bank's facilities portfolio. the results of the estimation of this model show that the service & commercial, housing & construction sectors have the largest share in the optimal portfolio of the bank's facilities. Industry & mining, agriculture & water sectors are considered risky assets of Sina Bank. the process of granting facilities has not been optimal. To reduce the credit risk of that bank's facilities, 52.4% should be allocated to the service & commercial sector, 40.7% to the housing & construction sector, 3.5% to the industry & mining sector, 3.4% to be allocated to agriculture & water sector.
خلاصه ماشینی:
Journal of Applied Economic Theory / Year 11 / Issue 2 / Summer 2024 / Pages 167-198 Determining the optimal bank loan portfolio with Markowitz approach and 1 Metaheuristic algorithms (A case study of Sina Bank) Iman Dadfar PhD student in Economics, Islamic Azad University, Central Tehran Branch, iman.
In this research, the loan portfolio of Sina Bank in economic sectors during the years 2007 to 2023 is optimized and the efficient frontier is determined using the Markowitz modern portfolio model and metaheuristic genetic and firefly algorithms.
Yekta 1 (1394), Kamraei 2 (1390), Mehrara and Sadeghian 3 (1387), in their research, investigated the optimal composition of the loan portfolios of Melli, Ayandeh, Sepah, and Saman banks in the form of economic sectors using the Markowitz model.
4- Research Findings In this section of the research, the Sina Bank loan portfolio is optimized using the Markowitz modern portfolio model, metaheuristic Genetic and Firefly algorithms, and three optimal portfolios along the efficient frontier are determined, and the share of economic sectors in high-risk, medium-risk, and low-risk portfolios is presented.
100% 50% 0% Agriculture and Water Industry and Mining Housing and Construction Services and Commerce High Risk Medium Risk Low Risk Chart (2): Optimal weights of economic sectors in the Genetic Algorithm model Source: Research findings 186 Determining the optimal bank loan portfolio with the Markowitz approach and algorithms....
12- Nahvi, Abozar, Ghorbani, Mohammad, Sabohi, Mahmoud and Durandish, Arash (2021).
13- Nobakht, Javad, Ahmadi, Mohammad Mehdi, Gholami, Elham and Ebrahimi, Mehrdad (2019).
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