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

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