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. - In: OPTIMIZATION LETTERS. - ISSN 1862-4472. - 6:(2012), pp. 867-882. [10.1007/s11590-011-0310-6]
The perspective of a bank in granting credits: an optimization model
CERQUETI, ROY;
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 aMonte Carlo simulation involving empirical data is also implemented. The financial strategies are thus obtained.| File | Dimensione | Formato | |
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