Multi-Period Loan Interest Rate Nash Model with Basel II Solvency Constraint

Autor:	Kh. Enkhbayar, G. Battulga, S. Batbileg
Jazyk:	English<br />Russian
Rok vydání:	2022
Předmět:	nash equilibrium model one factor kmv/riskmetrics model basel ii solvency constraint credit rating loan interest rate Mathematics QA1-939
Zdroj:	Известия Иркутского государственного университета: Серия "Математика", Vol 41, Iss 1, Pp 3-18 (2022)
Druh dokumentu:	article
ISSN:	1997-7670 2541-8785
DOI:	10.26516/1997-7670.2022.41.3
Popis:	This paper introduces multi–period loan interest rate Nash game models in the banking sector under regulatory solvency constraints. By taking solvency constraint as Basel II and modelling economic condition as AR(1) process, we obtain results regarding the existence of loan interest rate equilibrium. A sensitivity analysis for the solvency constraint model and some numerical results are presented.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/b9e0aeb379314d35810f48235ec13e3a Zobrazit plný text záznamu View record in DOAJ