Game-Theoretic Approach to Bank Loan Repayment

• Autorzy: Paliński A.

Identyfikatory

DOI

10.7494/dmms.2015.9.1.79

• Konferencja: 10th Spain-Italy-Netherlands Meeting on Game Theory (SING10)
• Języki publikacji: EN

Abstrakty

EN

This paper presents a model of bank-loan repayment as a signaling game with a set of discrete types of borrowers. The type of borrower is the return on an investment project. A possibility of renegotiation of the loan agreement leads to an equilibrium in which the borrower adjusts the repaid amount to the liquidation value of its assets (from the bank’s point of view). In the equilibrium, there are numerous pooling equilibrium points, with values rising according to the expected liquidation value of the loan. The article additionally proposes a mechanism forcing the borrower to pay all of his return instead of the common liquidation value of subset of types of the borrower. The paper contains also a simple numerical example explaining this mechanism.

Słowa kluczowe

EN

bank; loan; credit agreement; repayment; renegotiation; game theory

• Wydawca: AGH University of Science and Technology Press
• Czasopismo: Decision Making in Manufacturing and Services
• Rocznik: 2015
• Tom: Vol. 9, no. 1
• Strony: 79--88
• Opis fizyczny: Bibliogr. 18 poz., tab.

Twórcy

autor

Paliński A.

• AGH University of Science and Technology, Faculty of Management, Krakow, Poland

Bibliografia

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