A Markov Model for Risk Evaluation in Banking

J.C. Reboredo

UFAE and IAE Working Papers from Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)

Abstract: This paper presents a useful theoretical and empirical modelling for a probabilistic evaluation of the bank risk states. Bank riskiness is related to a stochastic recursive profit function from which different positions arise. Provided that the bank's decision maker objective is to maximise a function of a discounted stream of profits by making portfolio decisions, the transition probabilities among the different considered risk states are determined by those decicions, and draw the probabilities evolution over time of the different banks' risk states.

Keywords: BANKS; RISK (search for similar items in EconPapers)
JEL-codes: C23 C51 C53 D81 G21 (search for similar items in EconPapers)
Date: 1997

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:aub:autbar:383.97

Access Statistics for this paper

More papers in UFAE and IAE Working Papers from Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)
Contact information at EDIRC.
Series data maintained by Xavier Vila ().