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Decisiones de los bancos comerciales en condiciones de riesgo e incertidumbre

Author

Listed:
  • Abigail Rodríguez Nava

    (Universidad Autónoma Metropolitana - Xochimilco)

  • Francisco Venegas Martínez

    (Instituto Politécnico Nacional)

Abstract

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.

Suggested Citation

  • Abigail Rodríguez Nava & Francisco Venegas Martínez, 2009. "Decisiones de los bancos comerciales en condiciones de riesgo e incertidumbre," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 24(1), pages 145–175-1.
    • Handle: RePEc:emx:esteco:v:24:y:2009:i:1:p:145-175
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    File URL: https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/126/128
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    More about this item

    Keywords

    economics of banking; default probability; risk credit.;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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