2 research outputs found
Ratio-Balanced Maximum Flows
When a loan is approved for a person or company, the bank is subject to \emph{credit risk}; the risk that the lender defaults. To mitigate this risk, a bank will require some form of \emph{security}, which will be collected if the lender defaults. Accounts can be secured by several securities and a security can be used for several accounts. The goal is to fractionally assign the securities to the accounts so as to balance the risk. This situation can be modelled by a bipartite graph. We have a set of securities and a set of accounts. Each security has a \emph{value} and each account has an \emph{exposure} . If a security can be used to secure an account , we have an edge from to . Let be part of security 's value used to secure account . We are searching for a maximum flow that send at most units out of node and at most units into node . Then is the unsecured part of account . We are searching for the maximum flow that minimizes