Designing a fuzzy multi-objective optimization model for portfolio of bank exchange and participatory contracts

Subject Areas : Financial engineering

mohadese kouchaki tajani ¹ , reza fallah ² , mehdi Maranjory ³ , Razieh Alikhani ⁴

1 - Department of Accounting, Chalus Branch, Islamic Azad University of Chalous, Iran
2 - Department of Accounting, Chalus Branch, Islamic Azad University, Chalus, Iran
3 - Department of accounting, Chalous Branch, Islamic Azad University, Chalous, Iran
4 - Department of accounting, Chalous Branch, Islamic Azad University, Chalous, Iran

Received: 2020-09-08 Accepted : 2020-10-07 Published : 2021-06-22

Keywords: Loan optimization, participatory contracts, Deferred receivables, Exchange contracts,

Abstract :

Asset quality of banks is a considerable indicator of bankruptcy signals, affecting efficiency and continuity of bank activities. Increasing the volume of non-current receivables increases the risk and adversely affects the efficiency of the banking network. planning to collect such receivables timely as well as prevention of mis management in the lending sector result in increased income, profitability, increased resources of banks, decreased credit risks, and low likelihood of bankruptcy. The aim of present research is to provide a mathematical model of fuzzy multi-objective optimization to optimize exchange and participatory contracts of banks. In present research, optimization is implemented by increasing current loans and minimizing credit and bankruptcy risks. After programming, research data is analyzed by using GAMS software. Results of the optimization of each category of loans include a 2% increase in current loans returns, a 2.1% decrease in risks the passed due dates, a 3.3% reduction of outstanding loans, and a 10.95% decrease in doubtful debts.