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 aMonte 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

CERQUETI, ROY;QUARANTA, ANNA GRAZIA
2012-01-01

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 aMonte Carlo simulation involving empirical data is also implemented. The financial strategies are thus obtained.
2012
--Netherlands: Springer Netherlands -Dordrecht Netherlands:Kluwer Academic Publishers
Internazionale
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11393/95005
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