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A stochastic model for financiers

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Author Info
Raffaella Barone (University of Salento)
Roy Cerqueti (University of Macerata)
Anna Grazia Quaranta (University of Camerino)

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Abstract

In this work, two models for legal and illegal financiers are presented. The aim of the financiers are different: a bank try to minimize the defalt probabilityof the funded company, while the illegal financier aims to bring the company to bankruptcy and, at the same time, to obtain the maximum level of the firm's guarantee wealth. A couple of stochastic dynamic optimization problems are solved. The illegal case let intervene a numerical analysis of the microeconomic situation of the firm, strating fromreal data and writing new simulation procedure in Matlab and GAMS. The legal case has been solved in closed-form, by using stochastic control theory.

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Paper provided by Macerata University, Department of Finance and Economic Sciences in its series Working Papers with number 42-2007.

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Date of creation: Oct 2007
Date of revision: Oct 2008
Handle: RePEc:mcr:wpdief:wpaper00042

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  1. Bester, Helmut, 1994. "The Role of Collateral in a Model of Debt Renegotiation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 26(1), pages 72-86, February. [Downloadable!] (restricted)
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