Original Article
Multi-Attribute Decision Making
Jalal Naderi; Mohamad Nadiri; Fatemeh Zarei
Abstract
Purpose: The credit risk and non-performing loans of banks are among the most important problems of the banking system in Iran. And according to available statistics, the average default of loans and non-performing loans of banks in Iran is much higher than the global average. The main purpose of this ...
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Purpose: The credit risk and non-performing loans of banks are among the most important problems of the banking system in Iran. And according to available statistics, the average default of loans and non-performing loans of banks in Iran is much higher than the global average. The main purpose of this study is to identify and analyze the basic and important factors affecting credit risk in the Iranian banking system.Methodology: For this purpose, first, using the method of guided interviews with twenty experts and credit risk managers of the country's banking sector, who were selected by the snowball method, the most important factors affecting credit risk were identified; then, these factors were returned to the experts for ranking in the form of a pairwise comparison questionnaire, and finally, the important factors affecting this risk, along with their sub-factors were analyzed using denp technique (the dematel based analytic network process).Findings: The results of the research show that the macroeconomic factors are the most important factor as well as instability in macroeconomic environment, failure to take timely and inappropriate actions with defaulters, poor and inadequate credit monitoring, ordered loans, and lengthy and time-consuming judicial procedures are the most important factors affecting risk credit in Iranian banking.Originality/Value: The distinguishing feature of this study from other similar studies is the use of DANP technique to investigate the relationships between factors and sub-factors.
Original Article
Multi-Attribute Decision Making
Saba Amiri; Saeed Setayeshi
Abstract
Purpose: Neuromarketing is an interdisciplinary and emerging field which can be used in order to relate consumer behavior to neuroscience. So, in recent decades, the importance and interest in buying sustainable products for protecting the environment has been increased. Thus, the present study was done ...
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Purpose: Neuromarketing is an interdisciplinary and emerging field which can be used in order to relate consumer behavior to neuroscience. So, in recent decades, the importance and interest in buying sustainable products for protecting the environment has been increased. Thus, the present study was done with the aim of fuzzy analytic hierarchy process of neuromarketing evaluation criteria for sustainable products.Methodology: The research was performed with a quantitative approach and by using multiple-criteria decision analysis. For this purpose, in order to gain a deep understanding of the subject and collecting useful data, after carefully reviewing the related studies, the views of 16 experts were collected using a fuzzy hierarchical researcher-made questionnaire, which the inconsistency rate of the questionnaires confirmed reliability of them. Also, sensitivity analysis was used to ensure.Findings: The results showed that the criteria for evaluating neuromarketing are in seven categories, which based on FAHP are: accuracy, biasness, exploration of memory and emotion, information quality, usefulness, time saving, cost, respectively. Also, the alternatives of marketing for sustainable products affected by neuromarketing in order of priority are: advertising, product design and development, branding, consumer decision, pricing and distribution. Sensitivity analysis also showed that the research findings are confirmed, but in the case of two criteria of biasness and exploration of memory and emotions, there is a possibility of displacement.Originality/Value: Neuromarketing, due to the provision of high-precision and high-quality information and the reduction of bias in the analysis of results, provides the possibility of predicting consumer buying behavior and affects the marketing mix of sustainable products.
original-application paper
Risk analysis
Rasool Roozegar; Samane Arkia
Abstract
Purpose: We have introduced the two-sided Lomax-GARCH (TSLx-GARCH) model. We have used this model to create a more realistic value-at-risk value index than other distributions for all confidence levels. We find this index for applied data.Methodology: In this study, a new flexible distribution for GARCH ...
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Purpose: We have introduced the two-sided Lomax-GARCH (TSLx-GARCH) model. We have used this model to create a more realistic value-at-risk value index than other distributions for all confidence levels. We find this index for applied data.Methodology: In this study, a new flexible distribution for GARCH models in predicting the value at risk is presented. Accurate modeling of financial returns requires proper innovation distribution.Findings: Experimental results show that the GJR-GARCH model, with its innovative TSLx distribution, generates realistic value index predictions, realistic normal distribution, t-student and generalized error distributions for all levels of confidence. The proposed distribution flexibility opens up an opportunity to increase the accuracy of financial return modeling in GARCH models.Originality/Value: We have used the TSLx-GARCH in data modeling and simulation and find both skewness and excess elongation in the financial return series and confidence levels for all levels.
Original Article
stochastic/Probabilistic/fuzzy/dynamic modeling
Mehdi Khajezadeh Dezfoli; Mansour Momeni; Hanan Amoozad Mahdirji; Mohammad Hosein Pourkazemi
Abstract
Purpose: The main theory governing the valuation of futures contracts is the Storage Theory, in which the concept of Convenience Yield is the most important factor involved in contract pricing. Convenience Yield is a factor that complicates the process of valuing futures contracts. Trying to determine ...
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Purpose: The main theory governing the valuation of futures contracts is the Storage Theory, in which the concept of Convenience Yield is the most important factor involved in contract pricing. Convenience Yield is a factor that complicates the process of valuing futures contracts. Trying to determine the best trading position in futures contracts with different underlying assets and with different maturities is the goal of this article. In this article, using the theory of storage and the concept of welfare fruits and using the method of dynamic random control, a model for selecting the optimal trading position in futures contracts of consumer goods in both single and double goods is presented.Methodology: In this article, the theory of storage and the concept of Convenience Yield are used. Also, by using the dynamic stochastic control method, a model for choosing the optimal trading position in the futures contracts of consumer goods is expressed in two modes of single commodity and dual commodity.Findings: The results of the implementation of the model in the Iranian Commodity Exchange market show that the model in the single commodity mode has been able to fully identify the correct trading position and in the two commodity mode has been 91.7% successful.Originality/Value: Presenting a model to determine the optimal trading position based on Storage Theory and the existence of two stochastic factors of Convenience Yield and stock price using dynamic stochastic control method in single and multi-commodity mode in a specific investment horizon on consumer goods is the most important innovation.
Original Article
Maryam Shoaee; Parvaneh Samouei
Abstract
Purpose: Warehousing is very important in the economies of countries, because a significant percentage of assets are stored in the warehouse. Proper warehouse design and layout has a great role in reducing costs, reducing lead time and delivery time, improving resource utilization and customer service. ...
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Purpose: Warehousing is very important in the economies of countries, because a significant percentage of assets are stored in the warehouse. Proper warehouse design and layout has a great role in reducing costs, reducing lead time and delivery time, improving resource utilization and customer service. One type of warehouse that has become widely used recently is cross dock warehouses, which differ from traditional warehouses in terms of the number of products stored and their storage time. The main purpose of this research is modeling and solving a problem that is compatible with real world conditions that have received less attention from researchers.Methodology: Multi-Objective Gray Wolf Optimization (MOGWO) algorithm is used to solve the problem and Parameters are adjusted using the Taguchi method.Findings: Using the mean ideal distance, spacing, number of pareto solutions and diversification metric, the best possible level for the algorithm parameters is determined by the signal-to-noise ratio diagram. By solving 10 examples in different sizes and reviewing the results and their solution time, it has been determined that with increasing the size of the problem, the solution time also increases.Originality/Value: In this study, in addition to considering the distance traveled in the warehouse, which most studies have done in the field of warehouse design, more use of available space in the warehouse and the satisfaction of retailers has also been considered. For this purpose, a mixed integer programing model is proposed to design a cross dock warehouse to minimize distances, minimize the vacant space of the warehouse, and maximize retailer’s satisfaction.
Original Article
Fuzzy Optimization
Madineh Farnam; Majid Darehmiraki
Abstract
Purpose: In working with Interval-valued intuitionistic fuzzy sets according to considering the membership and non-membership function simultaneously, as well as the interval of the data type, we face to a lot of flexibility to allocate data by the decision maker. Comparison ...
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Purpose: In working with Interval-valued intuitionistic fuzzy sets according to considering the membership and non-membership function simultaneously, as well as the interval of the data type, we face to a lot of flexibility to allocate data by the decision maker. Comparison between them, as one of the first concepts in the decision-making process, does not seem so simple. For this purpose, in this paper we present an integrated and efficient method and a new way to prioritize interval-valued intuitionistic fuzzy numbers. Then we apply this method to assess the qualitative qualification of contractors.Methodology: Use interval valued intuitionistic fuzzy sets along with multi criteria decision making.Findings: New ranking method of interval valued intuitionistic fuzzy sets is apllied in evaluating operational units. In addition, by giving a practical example while describing the process performance, the output of the work is observed.Originality/Value: A new method is proposed to determine the preference between interval valued intuitionistic fuzzy sets. In addition, an efficiency process is introduced to assess the qualitative qualification of contractors.
Original Article
Mathematical Optimization Models
Leila Torkzadeh
Abstract
Purpose: Providing an analytical approach to minimize risk to a situation that traders deal with model risk, as a financial risk arises by choosing an approximation model, for the underlying securities status in financial estimates.Methodology: Improving the standard binomial pricing model and using ...
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Purpose: Providing an analytical approach to minimize risk to a situation that traders deal with model risk, as a financial risk arises by choosing an approximation model, for the underlying securities status in financial estimates.Methodology: Improving the standard binomial pricing model and using the equivalence portfolio mechanism in a particular incomplete market situation which traders are uncertain about the actual status space of the stock binomial process.Findings: From a research aspect, a model of approximation was provided and generalized with different hypotheses that minimizes the risk of the model for pricing call options. From an applied practical aspect, the results give to financial institutions the outlook to predict a mechanism to moderate excessive volatilities in the markets related to options.Originality/Value: The study of the model risk is performed by maintaining the simple framework and elegance of the binomial model and then it is proved that by defining the optimality in the sense of minimum mean-square errors, the choice of an optimal approximation model is possible. In addition, the implementation and efficiency of the method for the multi-period model are explained.
Original Article
Scheduling Modeling
Haed Tavakkoli-Moghaddam; Seyed Hesamoddin Zegordi; Mohammad Reza Amin-Nasseri
Abstract
Purpose: This paper proposes several innovative approaches to model evaluation after obtaining the reinforcement learning model of scheduling with predictive maintenance. To train this model, its reward and loss function must be determined according to the conditions of the workshop environment.
Methodology: ...
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Purpose: This paper proposes several innovative approaches to model evaluation after obtaining the reinforcement learning model of scheduling with predictive maintenance. To train this model, its reward and loss function must be determined according to the conditions of the workshop environment.
Methodology: This learning model is examined in different modes of work entry into the workshop and the results obtained from other scheduling methods show better outputs.
Findings: The predictive maintenance model is evaluated by four learning methods and the quality of these models is examined. By selecting and adding the best machine failure model to the scheduling reinforcement learning model, the instant tasks entered into the workshop are assigned to the machines. By comparing the proposed method with the previous ones, the best performance is found and shown.
Originality/Value: One of the innovations of this paper is to provide a definition of the reward function for the issue.
Original Article
Data Envelopment Analyses
Elham Zaker Harofteh; Faranak Hosseinzadeh Saljooghi
Abstract
Purpose: In this paper, the combined model for determining capacity utilization by considering inputs and outputs based on efficiency is discussed and the loss due to the lack of suitable use of capacity utilization is also calculated.
Methodology: The current research is practical in terms of ...
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Purpose: In this paper, the combined model for determining capacity utilization by considering inputs and outputs based on efficiency is discussed and the loss due to the lack of suitable use of capacity utilization is also calculated.
Methodology: The current research is practical in terms of the type of purpose and fundamental in terms of the type of study. The capacity utilization evaluation method is based on data envelopment analysis model which is suitable for evaluating efficiency and function and it also has the ability to designate the capacity utilization. In the present models, the capacity utilization evaluation method is stated by assuming the possibility of changing all inputs/outputs with a multiplicative constant (Radial model) or assuming a distinct change in all factors affecting production. But in reality, some inputs/outputs might change radially and some of them non-radially in organizations and companies. In this article, a new model is submitted to designate the capacity utilization. It measures the capacity utilization simultaneously in the presence of radial and non-radial factors; furthermore, it has the ability to detect losses caused by any of the items such as the price of outputs/inputs or amount of output deficit and input surplus and it is a suitable model for evaluating the capacity utilization in practical and real issues.
Findings: The proposed approach in this article combines the points of the CCR radial model and the SBM non-radial model with the aim of determining capacity utilization and not just measuring efficiency, and with its help, we can evaluate the capacity utilization with the presence of non-radial data in addition to the radial data. In a case study of twelve hospitals with a fixed input of a doctor, and a variable input of a nurse and two outputs of outpatients and inpatients, it was observed that by eliminating the variable inputs in the presence of radial and non-radial outputs, there is no improvement in efficiency. On the other hand, the results show that some hospitals should improve the use of their capacity, and in some hospitals, by increasing the number of nurses, the number of outpatients or inpatients can be increased and the performance of hospitals can be improved. Then, using efficiency analysis, the inefficiency factor and its amount were determined. The combined model shows a lower number of inefficient units than the output-oriented BCC model.
Originality/Value: In this article, the combined model of capacity utilization in the presence of radial and non-radial indicators is presented, which can be an introduction to the presentation of DEA models of capacity utilization under different input and output conditions.
original-application paper
Data Envelopment Analyses
Parisa Nankali; Fatemeh Rakhshan; Mohammad Reza Alirezaee
Abstract
Purpose: Customer loyalty is significantly dependent on customer satisfaction with the services provided. Therefore, customer satisfaction in offline services such as e-banking, offline account opening, etc. can be considered as an effective competitive strategy, especially in the current situation due ...
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Purpose: Customer loyalty is significantly dependent on customer satisfaction with the services provided. Therefore, customer satisfaction in offline services such as e-banking, offline account opening, etc. can be considered as an effective competitive strategy, especially in the current situation due to the corona virus pandemic.Methodology: In this study, first, by considering the appropriate loyalty codes at the level of bank branches, we define the appropriate weight constraints of the type of confidence zone constraints of the first type and add them to the basic model of data envelopment analysis. The new size obtained from this mathematical model is due to the effect of loyalty constraints and will have more resolution than the basic model. The loyalty factor of each branch is then defined as the ratio of the size of the new model to the base model, which will be a number between zero and one. Then, the proposed model is implemented in a case study consisting of 195 branches of the Housing Bank and the results of the model are analyzed.Findings: The results show that the loyalty factor is directly related to the quality of in-person services and a new measure of efficiency is obtained to monitor customer loyalty.Originality/Value: The data envelopment analysis method can be a suitable technique to evaluate the role of non-personal bank services in the level of customer loyalty and can help banks to retain customers.