Interest rate is one of the important indicators for banks and other financial institutions to balance the risks and gains. In this paper, based on the decision-making behavior of the borrower, a model for interest rate decision based on the conditional value-at-risk (CVaR) is established, and the optimal interest rate is obtained. Numerical analysis shows that the level of risk aversion directly effects interest rate decision; CVaR could help banks to balance profit and risk; borrowers' profit rate and internal capital are the key factors for bank evading risk.
YU Hui
, ZHEN Xue-Ping. , {{custom_author.name_en}}.
INTEREST RATE DECISION MODEL BASED ON CVAR BY CONSIDERING DECISION-MAKING BEHAVIOR OF THE BORROWER. Journal of Systems Science and Mathematical Sciences, 2011, 31(10): 1269-1278 https://doi.org/10.12341/jssms11706