The perspective of a bank in granting credits: an optimization model |
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| Authors: | Roy Cerqueti Anna Grazia Quaranta |
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| Institution: | 1.Department of Economic and Financial Institutions,University of Macerata,Macerata,Italy;2.Department of Mathematics, Faculty of Economics,Alma Mater Studiorum, University of Bologna,Bologna,Italy |
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| 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. |
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