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.
2012
Stochastic model; Optimal control problem; Firms’ external financing
01 Pubblicazione su rivista::01a Articolo in rivista
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]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1364530
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