Title :
The optimal design on the decision mechanism of credit risk for banks with imperfect information
Author :
Sulin, Pang ; Yongqing, Liu ; Rongzhou, Li
Author_Institution :
Dept. of Math., Jinan Univ., Guangzhou, China
Abstract :
We utilize an optimal method to study the decision problem of credit risk for banks. An appropriate decision mechanism of credit risk is given. The study shows banks design a credit contract from a defaulting loan from an entrepreneur point of view. The decision mechanism of credit risk we obtain can efficiently identify the extent to which the entrepreneur reports risk information in credit markets with imperfect information
Keywords :
banking; decision theory; nonlinear programming; credit contract; credit risk; decision mechanism; defaulting loan; imperfect information; risk information; Automatic control; Contracts; Economic indicators; Information security; Investments; Mathematics; National security;
Conference_Titel :
Intelligent Control and Automation, 2000. Proceedings of the 3rd World Congress on
Conference_Location :
Hefei
Print_ISBN :
0-7803-5995-X
DOI :
10.1109/WCICA.2000.862805