Modelowanie oprocentowania kredytów bankowych z wykorzystaniem teorii gier i wartości likwidacyjnej

• Authors: Andrzej Paliński

Title variants

EN

Bank Lending Rates Modelling with Use of the Game Theory and the Liquidation Value

• Languages of publication: PL

Abstracts

EN

The paper presents a model for determination of interest rate on bank loan. According to the theoretical model a borrower repays the lesser of: the amount set in the credit agreement or an amount equal to the liquidation value of his assets. On this basis, the simulation model computes the expected value of bank's income from loan agreement. To verify the model we used accounting and market data of selected publicly traded companies. Unfortunately, interest rates calculated from the model does not coincide with the real averaged loan rates of the companies. The reason for the difference is probably excessive aggregation of financial data and the lack of detailed data on individual loan agreements. An additional reason may be that Polish banks pay no attention to market valuation of companies and their revenue.

Keywords

PL

Kredyt bankowy; Modelowanie ryzyka kredytowego; Oprocentowanie kredytów bankowych; Spółki giełdowe; Teoria gier

EN

Bank credit; Bank lending rate; Credit risk modelling; Game theory; Stock market companies

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2014
• Volume: 198 cz 2
• Pages: 195-205

Contributors

author

Andrzej Paliński

References

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Identifiers

ISSN

2083-8611