Loan interest rate Nash models with solvency constraints in the banking sector

被引：1

作者：

Battulga, G. ^{[1
]}

Altangerel, L. ^{[2
]}

Battur, G. ^{[1
]}

机构：

[1] Natl Univ Mongolia, Dept Appl Math, Ulan Bator, Mongolia

[2] German Mongolian Inst Resources & Technol, Fac Math Comp & Nat Sci, Nalaikh, Mongolia

来源：

OPTIMIZATION METHODS & SOFTWARE | 2021年 / 36卷 / 05期

关键词：

Nash equilibrium model; Basel I; Basel II; and ES solvency constraints; credit rating; loan interest rate;

D O I：

10.1080/10556788.2021.1891537

中图分类号：

TP31 [计算机软件];

学科分类号：

081202 ; 0835 ;

摘要：

This paper attempts to study loan interest rate Nash game models in the banking sector under regulatory solvency constraints. By taking solvency constraints as Basel I, Basel II, and Expected Shortfall (ES), we obtain results regarding the existence of loan interest rate equilibrium. A sensitivity analysis for solvency models and some numerical results are presented. Numerical results show that the weighted loan interest rate of the Mongolian banking system is consistent with the base case of the theoretical weighted loan interest rate corresponding to the Nash equilibrium.

引用

页码：891 / 908

页数：18

共 50 条

[1] Multi-Period Loan Interest Rate Nash Model with Basel II Solvency Constraint
Enkhbayar, Kh.
Battulga, G.
Batbileg, S.
BULLETIN OF IRKUTSK STATE UNIVERSITY-SERIES MATHEMATICS, 2022, 41 : 3 - 18
[2] Loan growth and bank solvency: evidence from the Pakistani banking sector
Kashif M.
Iftikhar S.F.
Iftikhar K.
Financial Innovation, 2 (1)
[3] Impact of interest rate risk on the Spanish banking sector
Ballester, Laura
Ferrer, Roman
Gonzalez, Cristobal
MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE, 2010, : 1 - +
[4] LOAN BENCHMARK INTEREST RATE IN BANKING DUOPOLY MODEL WITH HETEROGENEOUS EXPECTATION
Ansori, Moch Fandi
JOURNAL OF THE INDONESIAN MATHEMATICAL SOCIETY, 2024, 30 (02) : 205 - 217
[5] Banking sector development and interest rate volatility in emerging economies
Hajilee, Massomeh
Al Nasser, Omar M.
Perez, Gladys H.
APPLIED ECONOMICS, 2015, 47 (17) : 1739 - 1747
[6] AI-Based Hybrid Models for Predicting Loan Risk in the Banking Sector
Kumar, Vikas
Saheb, Shaiku Shahida
Preeti
Ghayas, Atif
Kumari, Sunil
Chandel, Jai Kishan
Pandey, Saroj Kumar
Kumar, Santosh
BIG DATA MINING AND ANALYTICS, 2023, 6 (04) : 478 - 490
[7] MARX ON THE BANKING SECTOR AND THE INTEREST-RATE - SOME NOTES FOR A DISCUSSION
PANICO, C
SCIENCE & SOCIETY, 1988, 52 (03) : 310 - 325
[8] IMPACT OF TECHNOLOGY ON INTEREST RATE: EVIDENCE FROM THE BANKING SECTOR OF PAKISTAN
Shahzad, Akmal
Andleeb, Arifa
Athar, Muhammad Razzaq
ACTUAL PROBLEMS OF ECONOMICS, 2012, (130): : 53 - 57
[9] Analysis of the Impact of Interest Rate Liberation on China's Banking Sector
Huang, Jingxin
Ma, Deng
Sun, Jianpeng
INTERNATIONAL CONFERENCE ON SOCIAL SCIENCE, MANAGEMENT AND ECONOMICS (SSME 2015), 2015, : 252 - 257
[10] CONTRIBUTION OF LOAN AND INTEREST RATES STRUCTURE TO THE DEVELOPMENT OF THE LIQUIDITY IN BANKING SECTOR OF THE SLOVAK REPUBLIC AND EURO AREA
Horvatova, Eva
Horvat, Jan
POLITICAL SCIENCES, LAW, FINANCE, ECONOMICS AND TOURISM, VOL II, 2014, : 129 - 136

← 1 2 3 4 5 →