期刊
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
卷 200, 期 2, 页码 557-567出版社
ELSEVIER
DOI: 10.1016/j.ejor.2009.01.020
关键词
Risk management; Finance; Evolutionary computations; Constraints satisfaction; Decision support systems
Statistical transition probability matrices (TPMs), which indicate the likelihood of obligor credit state migration over a certain time horizon, have been used in various credit decision-making applications. A standard approach of calculating TPMs is to form a one-year empirical TPM and then project it into the future based on Markovian and time-homogeneity assumptions. However, the one-year empirical TPM calculated from historical data generally does not satisfy desired properties. We propose an alternative methodology by formulating the problem as a constrained optimization problem requiring satisfaction of all the desired properties and minimization of the discrepancy between predicted multi-year TPMs and empirical evidence. The problem is high-dimensional, non-convex, and non-separable, and is not effectively solved by nonlinear programming methods. To address the difficulty, we investigated evolutionary algorithms (EAs) and problem representation schemas. A self-adaptive differential evolution algorithm JADE, together with a new representation schema that automates constraint satisfaction, is shown to be the most effective technique. (C) 2009 Elsevier B.V. All rights reserved.
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