English, Article edition: Decisiones de los bancos comerciales en condiciones de riesgo e incertidumbre Abigail Rodríguez Nava; Francisco Venegas Martínez

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Decisiones de los bancos comerciales en condiciones de riesgo e incertidumbre
Author
  • Abigail Rodríguez Nava
  • Francisco Venegas Martínez
Physical Description
  • article
Notes
  • This paper develops an optimization model that describes the decision process of a representative commercial bank in an uncertain environment. In the proposed model the magnitude of deposits and bank loans are driven by diffusion stochastic processes. Moreover, the model considers instant default probabilities associated with customers receiving credits. The model generates closed-form solutions for the prices of the bank services that maximize its benefit, and from such prices the financial markup and the risk markup are obtained. Finally, an application of the model for Mexican commercial banks through Monte Carlo simulation is carried out.
  • economics of banking, default probability, risk credit.
  • RePEc:emx:esteco:v:24:y:2009:i:1:p:145-175
Language
  • English
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