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.

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.
R. Cerqueti; A.G. Quaranta
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11585/94226
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