Portfolio optimization model and its intelligent algorithm in credit risk

A model for credit risk measurement and portfolio optimization problems under fuzzy uncertainty was established and simulated. Based on self-duality credibility measure, fuzzy conditional value at risk (FCVaR) was proposed as a credit risk measure. A model which can minimize FCVaR subject to trading and return constraints was developed. In this approach, the credit risk possibility distributions of credit assets in considered market are described by exponential fuzzy variables and then the optimization problem is solved effectively with a hybrid intelligent algorithm based on fuzzy simulation method. The simulated results show that the credit risk of optimal portfolio is better than the original portfolio's.