Abstract
A general framework for the optimal control of credit risk collaterization was developed that can be applied to deposit insurance or other financial guarantees. The methodology of Quasi Variational Inequalities was adapted to our problem, and exemplifies a possible approach to impulse control problems in finance. Models of optimal auditing and control policies in a variety of situations were derived: full observation with repeated control, full observation with seizure (single control or stopping time), partial observation with repeated control. Numerical analysis of a range of situations helped us characterize the impact of changes in the economic environment (changes in interest rates, changes in volatility) as well as the impact of changes in the control cost functions on the occurrence of controls when the credit-risk-exposed party follows an optimal control policy.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2001 Springer Science+Business Media Dordrecht
About this chapter
Cite this chapter
Cossin, D., Aparicio, F.M. (2001). Conclusions. In: Optimal Control of Credit Risk. Advances in Computational Management Science, vol 3. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-1393-3_9
Download citation
DOI: https://doi.org/10.1007/978-1-4615-1393-3_9
Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4613-5531-1
Online ISBN: 978-1-4615-1393-3
eBook Packages: Springer Book Archive