Determination of Bank Interest Margins Considering Bankruptcy  
Author Syouji Nakamura


Co-Author(s) Miwako Arafuka; Toshio Nakagawa


Abstract The determination of the interest rate in consideration of bankruptcy is of great importance in a bank, because a bank secures a profit margin to cover a loan loss. Regarding the interest rate, the bank should consider the subject of how much actual amount of collection on the mortgage at the bankrupt company. Then, of our interest is the following: The stochastic behavior of such a collection time on the mortgage model can be analyzed by applying the theory of cumulative processes. This study proposes a stochastic model to determine an adequate interest rate taking account of the probability of bankrupt and the cost required for foreclosing the mortgagor.


Keywords Stochastic Model, Risk management, Loan interest, Mortgage collection
    Article #:  1933
Proceedings of the 19th ISSAT International Conference on Reliability and Quality in Design
August 5-7, 2013 - Honolulu, Hawaii, U.S.A.