Decisiones de los bancos comerciales en condiciones de riesgo e incertidumbre

Abigail Rodríguez Nava and Francisco Venegas Martínez
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Francisco Venegas Martínez: Instituto Politécnico Nacional
Authors registered in the RePEc Author Service: Francisco Venegas-Martínez

Estudios Económicos, 2009, vol. 24, issue 1, 145–175

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.

Keywords: economics of banking; default probability; risk credit. (search for similar items in EconPapers)
JEL-codes: D81 G21 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:emx:esteco:v:24:y:2009:i:1:p:145-175

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