In this work, a model for legal financiers’ strategies is presented, taking into account that the aim of a bank is to minimize the default probability of the funded company, constrained with reaching a certain profit level. To obtain our purpose, a stochastic dynamics optimization model is constructed and solved in closed form and a Monte Carlo simulation involving empirical data is also implemented. The financial strategies are thus obtained.
R. Cerqueti, A.G. Quaranta (2012). The Perspective of a Bank in Granting Credits: an Optimization Model. OPTIMIZATION LETTERS, 6(5), 867-882 [10.1007/s11590-011-0310-6].
The Perspective of a Bank in Granting Credits: an Optimization Model
QUARANTA, ANNA GRAZIA
2012
Abstract
In this work, a model for legal financiers’ strategies is presented, taking into account that the aim of a bank is to minimize the default probability of the funded company, constrained with reaching a certain profit level. To obtain our purpose, a stochastic dynamics optimization model is constructed and solved in closed form and a Monte Carlo simulation involving empirical data is also implemented. The financial strategies are thus obtained.File in questo prodotto:
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