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A dynamic credit risk assessment model with data mining techniques:evidence from Iranian banks

Financial Innovation 2019年第1期5卷 240-266页

作者： Somayeh Moradi farimah mokhatab rafiei Science and Research Branch Islamic Azad UniversityTehranIran Tarbiat Modares University TehranIran

Giving loans and issuing credit cards are two of the main concerns of banks in that they include the risks of *** to the Basel 2 guidelines,banks need to develop their own credit risk assessment *** banks have such systems;nevertheless they have lost a large amount of money simply because the models they used failed to accurately predict customers’***,banks have used static models with demographic or static factors to model credit risk ***,economic factors are not independent of political fluctuations,and as the political environment changes,the economic environment evolves with *** has been especially evident in Iran after the 2008-2016 USA sanctions,as many previously reliable customers became unable to repay their debt(i.e.,became bad customers).Nevertheless,a dynamic model that can accommodate fluctuating politicoeconomic factors has never been *** this paper,we propose a model that can accommodate factors associated with politico-economic *** judgement is removed from the customer evaluation *** used a fuzzy inference system to create a rule base using a set of uncertainty ***,we train an adaptive network-based fuzzy inference system(ANFIS)using monthly data from a customer profile ***,using the newly defined factors and their underlying rules,a second round of assessment begins in a fuzzy inference ***,we present a model that is both more flexible to politico-economic factors and can yield results that are max compatible with real-life *** between the prediction made by proposed model and a real non-performing loan indicates little difference between *** risk specialists also approve the *** major innovation of this research is producing a table of bad customers on a monthly basis and creating a dynamic model based on the *** latest created model is used for assessing customers henceforth,so the whole pro

关键词： Fuzzy clustering Non-performing loan Credit risk FIS Dynamism ANFIS

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A joint inventory–finance model for coordinating a capital‑constrained supply chain with financing limitations

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Financial Innovation 2021年第1期7卷 115-153页

作者： Faranak Emtehani Nasim Nahavandi farimah mokhatab rafiei Department of Industrial and Systems Engineering Tarbiat Modares UniversityP.O.Box 14117‑13116TehranIran

Faced with economic recession,firms struggle to find ways to stay competitive and maintain market *** coordination of the supply chain can solve this problem,but this may fail if existing capital constraints and financial flows are *** study addresses the challenge by exploiting coordination through joint decision-making on the physical and financial flows of a capital-constrained supply *** also consider the capital-constrained member’s financing limitations that lead to lost *** scenarios based on non-coordinated and coordinated structures are modeled in the form of bi-objective optimization problems that simultaneously optimize system costs and service *** models are solved using the-constraint *** results indicate that the non-coordinated model cannot satisfy more than about 50%of the demand due to capital shortage and financing limitations,while the coordinated model can satisfy all of the demand via internal ***,the proposed coordination scheme leads to cost reduction for the members and the total *** motivate all members to accept the proposed coordination scheme,a cost-sharing mechanism is applied to the coordination ***,a sensitivity analysis concerning financial parameters is provided for validating the coordination model.

关键词： Supply chain coordination Inventory-finance model Capital shortage Financing limitation Service level Bi-objective optimization

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Portfolio selection: a fuzzy-ANP approach

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Financial Innovation 2020年第1期6卷 313-346页

作者： Masoud Rahiminezhad Galankashi farimah mokhatab rafiei Maryam Ghezelbash Department of Industrial Engineering Tarbiat Modares UniversityTehranIran Department of Industrial Mechanical and Aerospace EngineeringBuein Zahra Technical UniversityBuein ZahraQazvinIran

This study developed specific criteria and a fuzzy analytic network process(FANP)to assess and select portfolios on the Tehran Stock Exchange(TSE).Although the portfolio selection problem has been widely investigated,most studies have focused on income and risk as the main decision-making ***,there are many other important criteria that have been *** fill this gap,first,a literature review was conducted to determine the main criteria for portfolio selection,and a Likert-type questionnaire was then used to finalize a list of ***,the finalized criteria were applied in an FANP to rank 10 different TSE *** results indicated that profitability,growth,market,and risk are the most important criteria for portfolio ***,portfolios 6,7,2,4,8,1,5,3,9,and 10(A6,A7,A2,A4,A8,A1,A5,A3,A9,and A10)were found to be the best *** and directions for future research are discussed.

关键词： Portfolio selection Financial engineering Fuzzy analytic network process(FANP) Multiple-criteria decision-making(MCDM)

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Trade credit financing for supply chain coordination under financial challenges:a multi‑leader–follower game approach

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Financial Innovation 2023年第1期9卷 131-169页

作者： Faranak Emtehani Nasim Nahavandi farimah mokhatab rafiei Department of Industrial and Systems Engineering Tarbiat Modares UniversityJalal AleAhmadNasrP.O.Box:14115‑111TehranIran

This study is designed to solve supply chain inefficiencies caused by some members’financial problems,such as capital shortages and financing restrictions in a stochastic *** this end,we have established a supply chain finance framework by designing two novel coordinating contracts based on trade credit financing for different problem *** contracts are modeled in the form of multi-leader Stackelberg games that address horizontal and vertical competition in a supply chain consisting of multiple suppliers and a financially constrained ***,previous studies in the trade credit literature have addressed only simple vertical competition,that is,seller-buyer *** solve the proposed models,two algorithms were developed by combining population-based metaheuristics,the Nash-domination concept,and the Nikaido-Isoda *** results demonstrate that the proposed supply chain finance framework can eliminate supply chain inefficiencies and make a large profit for suppliers,as well as the financially constrained ***,the results of the contracts’analysis showed that if the manufacturer is required to settle its payments to suppliers before the end of the period,the trade credit contract cannot coordinate the supply chain because of a lack of incentive for ***,if the manufacturer is allowed to extend its payments to the end of the period,the proposed trade credit financing contract can coordinate the supply ***,the sensitivity analysis results indicate that the worse the financial status of the manufacturer,the more bargaining power suppliers have in determining the contract parameters for more profit.

关键词： Supply chain coordination Financial constraint Multi-leader–follower Stackelberg game Trade credit financing Population-based metaheuristics

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