A stochastic model for financiers
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.
|Date of creation:||Oct 2007|
|Date of revision:||Oct 2008|
|Contact details of provider:|| Postal: |
Web page: http://www.unimc.it/dief
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cifarelli, Michele D. & Masciandaro, Donato & Peccati, Lorenzo & Salsa, Sandro & Tagliani, Aldo, 2002. "Success or failure of a firm under different financing policies: A dynamic stochastic model," European Journal of Operational Research, Elsevier, vol. 136(3), pages 471-482, February.
- 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.
- Bester, H., 1990. "The Role of Collateral in a Model of Debt Renegotiation," Discussion Paper 1990-60, Tilburg University, Center for Economic Research.
- Helmut Bester, 1990. "The Role of Collateral in a Model of Debt Renegotiation," CEPR Financial Markets Paper 0001, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ..
- Bester, H., 1990. "The Role Of Collateral In A Model Of Debt Renegotiation," Papers 9060, Tilburg - Center for Economic Research.
- Masciandaro Donato & Battaglini Marco, 2000. "Il vantaggio di bussare due volte: contratti bancari ed usura, diritti di proprietà, valore della garanzia e della rinegoziazione," Economia politica, Società editrice il Mulino, issue 3, pages 415-444.
- Munda, Giuseppe, 2004. "Social multi-criteria evaluation: Methodological foundations and operational consequences," European Journal of Operational Research, Elsevier, vol. 158(3), pages 662-677, November.
When requesting a correction, please mention this item's handle: RePEc:mcr:wpdief:wpaper00042. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Silvana Tartufoli)
If references are entirely missing, you can add them using this form.