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 / R. Cerqueti; A.G. Quaranta. - In: OPTIMIZATION LETTERS. - ISSN 1862-4472. - STAMPA. - 6:5(2012), pp. 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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
