A Fuzzy Approach for Solving Bi-Level Programming Problem of Banking Crisis Management

Banking risk management as a decision making challe nge is basically a complex structure with non crisp input factors. Based on the strength of those attributes it is a reasonable way for fast and human like decision to group the factors, and to use the fuzzy approach in banking risk management modeling. Bi-level programming problem o f banking crisis management with linear or non-linear constraints, a nd in which the objective function at each level are to be maximized. The bi- level programming problem can be thought as a static version of the Stackelb erg strategy, which is used leader-follower game in which a Stackelberg strateg y is used by the leader, or the higher-level decision-maker (manager ), given t he rational reaction of the follower, or the lower-level decision-maker (follow er). This paper proposes a two-planner model and a solution method for solving this problem. This method uses the concept of tolerance membership fun ction to develop a fuzzy Max-Min decision model for generating Pareto optima l solution for this problem; an illustrative numerical example is given to demonstrate the obtained results.