Mathematical Model of Banking Operation

A general mathematical concept is proposed to describe banking operation. To this end, a reference model of banking operation is introduced, which describes the evolution of capital by a Markov process. The ruin probability in the reference model that majorizes the bankruptcy probability of bank in...

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Veröffentlicht in:	Cybernetics and systems analysis 2015-05, Vol.51 (3), p.378-399
1. Verfasser:	Gonchar, N. S.
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Artificial Intelligence Bank accounts Bank failures Banking Banking industry Bankruptcies Bankruptcy Banks Banks (Finance) Brownian motion Capital Control Cybernetics Estimates Evolution Insurance companies Interest rates Investment policy Liability Markov analysis Markov processes Mathematical models Mathematics Mathematics and Statistics Probability Processor Architectures Random variables Software Engineering/Programming and Operating Systems Studies Systems analysis Systems Theory
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Beschreibung
Zusammenfassung:	A general mathematical concept is proposed to describe banking operation. To this end, a reference model of banking operation is introduced, which describes the evolution of capital by a Markov process. The ruin probability in the reference model that majorizes the bankruptcy probability of bank in the proposed model is estimated. The value of the initial bank capital such that the bank can operate for infinite time with a sufficiently small ruin probability is indicated.
ISSN:	1060-0396 1573-8337
DOI:	10.1007/s10559-015-9730-0