期刊文献+

Research of the Optimal Timing in Banks' Write-off Decision Under the Uncertain Conditions

Research of the Optimal Timing in Banks' Write-off Decision Under the Uncertain Conditions
原文传递
导出
摘要 On the assumption that the callback rate of the disposal of NPLs follow GBM, the paper obtains the partial differential equation, which is consistent with the value of waiting for the Non-performing loans disposal, by the method of the stochastic dynamic programming. Then, the equation solution is obtained on the value-matching and smooth-pasting. We can find the optimal timing of the Non-performing-loans disposal and the condition for deferring the Non-performing-loans disposal from the obtained solution.
出处 《Journal of Systems Science and Information》 2007年第1期91-96,共6页 系统科学与信息学报(英文)
基金 The project is supported by National Natural Science Foundation of China (70573033).
关键词 non-performing loans(NPLS) disposal timing Real option NPLS 银行家 金融风险 优化选择
  • 相关文献

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部