Decisiones de los bancos comerciales en condiciones de riesgo e incertidumbre
Abigail Rodríguez Nava
Francisco Venegas Martínez
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.
In order to set up a list of libraries that you have access to,
you must first login
or sign up.
Then set up a personal list of libraries from your profile page by
clicking on your user name at the top right of any screen.