| Autor: |
Ansori, Moch Fandi, Sidarto, Kuntjoro Adji, Sumarti, Novriana, Gunadi, Iman |
| Předmět: |
|
| Zdroj: |
International Journal of Mathematics & Computer Science; 2021, Vol. 16 Issue 3, p871-884, 14p |
| Abstrakt: |
We study a system of deterministic and stochastic differential equations of a bank's balance sheet variables: deposits, loans, equity and liquid assets. The deposits and loans model are assumed to follow the logistic harvesting model. The growth rate of equity is proportional to the bank's profit or loss, and it can be reduced by the non-performing loans factor. The liquid assets act as the balancing variables of the balance sheet. The stochastic model is presented with randomness that appeared in the deposit withdrawals and the non-performing loans parameters. The parameters in the deterministic model are estimated using spiral optimization algorithm employing the Indonesian banking data. The estimation results are quite well as shown by the errors between the data and the estimated model are really small. Using Euler-Maruyama method, the simulation of the stochastic model is also given. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
|
