Decisiones de los bancos comerciales en condiciones de riesgo e incertidumbre
This paper develops and 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 p...
| Auteurs principaux: | , |
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| Format: | Online |
| Langue: | espagnol |
| Éditeur: |
El Colegio de México, A.C.
2009
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| Sujets: | |
| Accès en ligne: | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/126 |
| Institution: |
Estudios Económicos |
| authentication_code | dc |
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| _version_ | 1844256668811001856 |
| author | Rodríguez Nava, Abigail Venegas Martínez, Francisco |
| author_facet | Rodríguez Nava, Abigail Venegas Martínez, Francisco |
| author_sort | Rodríguez Nava, Abigail |
| category_str_mv |
"Bolivia", "hyperinflation", "economic crisis", "Bolivia", "hiperinflación", "crisis económica"
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| collection | OJS |
| description | This paper develops and 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. |
| format | Online |
| id | oai:oai.estudioseconomicos.colmex.mx:article-126 |
| index_str_mv | CONAHCYT LATINDEX PKP Index DORA Redalyc Scielo México Handbook of Latin American Studies (HLAS) JSTOR Dialnet HAPI Ulrich’s International Periodicals Directory Google Scholar IBSS Gale OneFile: Informe Académico Global Issues in Context InfoTracCustom Cengage Learning EconLit Índice bibliográfico Publindex RePEc The Journal of Economic Literature |
| journal | Estudios Económicos |
| language | spa |
| publishDate | 2009 |
| publisher | El Colegio de México, A.C. |
| record_format | ojs |
| Terms_governing_use_and_reproduction_note | Copyright (c) 2018 Estudios Económicos |
| data_source_entry/ISSN | Estudios Económicos de El Colegio de México; 47-vol. 24, no. 1, january-june, 2009; 145-175 Estudios Económicos de El Colegio de México; 47-vol. 24, núm. 1, enero-junio, 2009; 145-175 0186-7202 0188-6916 |
| spelling | oai:oai.estudioseconomicos.colmex.mx:article-1262023-02-20T23:35:42Z Decisions of commercial banks under risk conditions and uncertainty Decisiones de los bancos comerciales en condiciones de riesgo e incertidumbre Rodríguez Nava, Abigail Venegas Martínez, Francisco economics of banking default probability risk credit D81 G21 economía bancaria probabilidad de incumplimiento riesgo de crédito D81 G21 This paper develops and 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. Desarrollamos un modelo de optimización sobre las decisiones de un banco comercial representativo en un escenario con incertidumbre. En la propuesta de los depósitos y créditos bancarios son conducidos por procesos estocásticos de difusión. Asimismo, se considera la probabilidad de que los clientes receptores de créditos cumplan con sus compromisos de pago. El modelo genera soluciones cerradas para las tasas de interés activa y pasiva que maximizan las ganancias del banco, de estas tasas se obtienen el margen financiero y el margen por riesgo. Por último, se realiza una aplicación para la banca comercial mexicana mediante la simulación Monte Carlo. El Colegio de México, A.C. 2009-01-01 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion application/pdf https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/126 10.24201/ee.v24i1.126 Estudios Económicos de El Colegio de México; 47-vol. 24, no. 1, january-june, 2009; 145-175 Estudios Económicos de El Colegio de México; 47-vol. 24, núm. 1, enero-junio, 2009; 145-175 0186-7202 0188-6916 spa https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/126/128 Copyright (c) 2018 Estudios Económicos |
| spellingShingle | economics of banking default probability risk credit D81 G21 economía bancaria probabilidad de incumplimiento riesgo de crédito D81 G21 Rodríguez Nava, Abigail Venegas Martínez, Francisco Decisiones de los bancos comerciales en condiciones de riesgo e incertidumbre |
| title | Decisiones de los bancos comerciales en condiciones de riesgo e incertidumbre |
| title_alt | Decisions of commercial banks under risk conditions and uncertainty |
| title_full | Decisiones de los bancos comerciales en condiciones de riesgo e incertidumbre |
| title_fullStr | Decisiones de los bancos comerciales en condiciones de riesgo e incertidumbre |
| title_full_unstemmed | Decisiones de los bancos comerciales en condiciones de riesgo e incertidumbre |
| title_short | Decisiones de los bancos comerciales en condiciones de riesgo e incertidumbre |
| title_sort | decisiones de los bancos comerciales en condiciones de riesgo e incertidumbre |
| topic | economics of banking default probability risk credit D81 G21 economía bancaria probabilidad de incumplimiento riesgo de crédito D81 G21 |
| topic_facet | economics of banking default probability risk credit D81 G21 economía bancaria probabilidad de incumplimiento riesgo de crédito D81 G21 |
| url | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/126 |
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