The perspective of a bank in granting credits: an optimization model

Roy Cerqueti

doi:10.1007/s11590-011-0310-6

The perspective of a bank in granting credits: an optimization model

Roy Cerqueti

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

Abstract

This is a post-peer-review, pre-copyedit version of an article published in Optimization Letters. The final authenticated version is available online at: http://dx.doi.org/10.1007/s11590-011-0310-6 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.

Original language	English
Pages (from-to)	867-882
Journal	Optimization Letters
DOIs	https://doi.org/10.1007/s11590-011-0310-6
Publication status	Published - Jun 2012
Externally published	Yes

Keywords

Stochastic model
optimal control problem
firms’ external financing

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10.1007/s11590-011-0310-6Licence: CC BY 4.0

Cite this

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title = "The perspective of a bank in granting credits: an optimization model",

abstract = "This is a post-peer-review, pre-copyedit version of an article published in Optimization Letters. The final authenticated version is available online at: http://dx.doi.org/10.1007/s11590-011-0310-6 In this work, a model for legal financiers{\textquoteright} 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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AB - This is a post-peer-review, pre-copyedit version of an article published in Optimization Letters. The final authenticated version is available online at: http://dx.doi.org/10.1007/s11590-011-0310-6 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.

KW - Stochastic model

KW - optimal control problem

KW - firms’ external financing

U2 - 10.1007/s11590-011-0310-6

DO - 10.1007/s11590-011-0310-6

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EP - 882

JO - Optimization Letters

JF - Optimization Letters

ER -

The perspective of a bank in granting credits: an optimization model

Abstract

Keywords

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