Financial Analytics: Science and Experience

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Financial Analytics: Science and Experience

34(76) - 2011 September

Bank corporate borrower’s choice optimization based on synthetic Wald-Savage's criterion

ISSUE 34, SEPTEMBER 2011

Available online: 4 October 2011

Subject Heading: MATHEMATICAL METHODS OF ANALYSIS IN THE ECONOMY

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Labsker L.G. Associate of physics and mathematical sciences, professor of chair mathematical modeling of economic processes, Financial university under the Government of the Russian Federation
llabsker@mail.ru

Yaschenko N.A. Associate professor of chair mathematical modeling of economic processes, Financial university under the Government of the Russian Federation
yashenko70@mail.ru

Amelina A.V. Credit analyst of department of corporate and investment business, Bank of Moscow, graduate student of chair mathematical modeling of economic processes, Financial university under the Government of the Russian Federation»
AmelinaAV.FU@gmail.com

For solving optimization problems the game-theory model «Playing with nature» is used, in which the optimum of strategy is founded according to benefits and risks basing on new synthetic Wald-Savage's criterion.

Keywords: bank, credit, operation, borrower, selection, enterprise, gain, risk, gaming simulation, the criterion of optimality

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ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

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