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|
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- 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.
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1990-60, Tilburg University, Center for Economic Research.
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- 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.
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