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A stochastic model for financiers

Author

Listed:
  • Raffaella Barone

    (University of Salento)

  • Roy Cerqueti

    (University of Macerata)

  • Anna Grazia Quaranta

    (University of Camerino)

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.

Suggested Citation

  • Raffaella Barone & Roy Cerqueti & Anna Grazia Quaranta, 2007. "A stochastic model for financiers," Working Papers 42-2007, Macerata University, Department of Finance and Economic Sciences, revised Oct 2008.
    • Handle: RePEc:mcr:wpdief:wpaper00042
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    References listed on IDEAS

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    3. Raffaella BARONE, 2004. "Riciclaggio finanziario e credito d’usura: un modello di analisi economica," Rivista Internazionale di Scienze Sociali, Vita e Pensiero, Pubblicazioni dell'Universita' Cattolica del Sacro Cuore, vol. 112(2), pages 119-135.
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    5. Donato Masciandaro & Marco Battaglini, 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.
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