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Digital
Library of the European Council for Modelling
and Simulation |
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Title: |
Simulation
And Selection Of Efficient Decision Rules In Bank's Manual Underwriting
Process |
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Authors: |
Mikhail Konovalov, Rostislav
Razumchik |
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Published in:
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(2016).ECMS 2016 Proceedings edited
by: Thorsen Claus, Frank Herrmann, Michael Manitz, Oliver Rose, European
Council for Modeling and Simulation. doi:10.7148/2016 ISBN:
978-0-9932440-2-5 30th
European Conference on Modelling and Simulation, Regensburg Germany, May 31st
– June 3rd, 2016 |
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Citation
format: |
Mikhail Konovalov, Rostislav
Razumchik (2016). Simulation And Selection Of Efficient Decision Rules In
Bank's Manual Underwriting Process, ECMS 2016 Proceedings edited by: Thorsten
Claus, Frank Herrmann, Michael Manitz, Oliver Rose European Council for Modeling
and Simulation. doi:10.7148/2016-0651 |
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DOI: |
http://dx.doi.org/10.7148/2016-0651 |
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Abstract: |
Bank’s manual underwriting involves a
group of underwriting inspectors, which perform a known set of procedures with
the loan applications submitted by the borrowers, in order to determine the
risk of providing a loan and eventually approve or disapprove it. Due to the
fact that the evaluation process of applications must satisfy quality of
service requirements usually set at legislator level and the bank resources
are limited, one has to define such dispatching rules, that specify which
application must be sent to which inspector and when in such a way that the
requirements are met. This paper presents a case study of the application of
“computer-aided scheduling” to the new problem of optimal management of
applications, which is seen in the bank manual underwriting process. Here it
is shown that the problem of optimal distribution of applications between the
inspectors in the bank’s manual underwriting can be represented as an optimal
dispatching problem, commonly encountered in the distributed processing
environment. We build the simulation model of the corresponding dispatching
system and find best decision rule with the help of computational simulations.
The realization of best decision-making is done by finding in a given set of
dispatching rules the best one (either static or adaptive) for a given
criterion and by estimating its parameters (if needed). By virtue of
numerical examples it is shown how the quality of service requirements are
met using different dispatching rules. |
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