• DocumentCode
    354036
  • 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
  • Volume
    3
  • fYear
    2000
  • fDate
    2000
  • Firstpage
    1890
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Intelligent Control and Automation, 2000. Proceedings of the 3rd World Congress on
  • Conference_Location
    Hefei
  • Print_ISBN
    0-7803-5995-X
  • Type

    conf

  • DOI
    10.1109/WCICA.2000.862805
  • Filename
    862805