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
收藏
页码：891 / 908
页数：18
相关论文
共 50 条
  • [31] Securitized banking and interest rate sensitivity
    Du, Brian
    REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING, 2020, 54 (03) : 851 - 876
  • [32] Securitized banking and interest rate sensitivity
    Brian Du
    Review of Quantitative Finance and Accounting, 2020, 54 : 851 - 876
  • [33] Interest rate risk: dimension reduction in the Swiss Solvency Test
    Ambrus, Marcel
    Crugnola-Humbert, Jerome
    Schmid, Martin
    EUROPEAN ACTUARIAL JOURNAL, 2011, 1 (02) : 159 - 172
  • [34] The expansion of services in European banking: Implications for loan pricing and interest margins
    Lepetit, Laetitia
    Nys, Emmanuelle
    Rous, Philippe
    Tarazi, Amine
    JOURNAL OF BANKING & FINANCE, 2008, 32 (11) : 2325 - 2335
  • [35] The transformation of banking: Tying loan interest rates to borrowers' CDS spreads
    Ivanov, Ivan T.
    Santos, Joao A. C.
    Thu Vo
    JOURNAL OF CORPORATE FINANCE, 2016, 38 : 150 - 165
  • [36] Loan growth, ownership, and regulation in the European Banking Sector: Old versus new banking landscape
    Agoraki, Maria-Eleni K.
    Kouretas, Georgios P.
    JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2021, 75
  • [37] Efficiency Measurement of the Banking Sector in the Presence of Non-Performing Loan
    Hamid, Nurhayati
    Ramli, Noor Asiah
    Hussin, Siti Aida Sheikh
    2ND INTERNATIONAL CONFERENCE AND WORKSHOP ON MATHEMATICAL ANALYSIS 2016 (ICWOMA2016), 2017, 1795
  • [38] Collateral Constraints and the Interest Rate
    Smith, Donal
    SCOTTISH JOURNAL OF POLITICAL ECONOMY, 2020, 67 (02) : 137 - 165
  • [39] Interest and noninterest profits and profitability in the Czech banking sector
    Hermanek, J
    Podpiera, J
    FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE, 2003, 53 (7-8): : 316 - 333
  • [40] Consequences of high interest rates for the Colombian banking sector
    Fernandez H, Saul R.
    Quintero R, Miguel E.
    Jose, Orejuela B. F.
    Martinez M, Luz A.
    Amaya S, Blanca E.
    ACTUALIDAD CONTABLE FACES, 2021, 24 (43): : 56 - 75
12345