Multi-period loan interest rate Nash model with Basel II solvency constraint

DOI10.26516/1997-7670.2022.41.3MaRDI QIDQ2097313zbMATH OpenOpenAlexFDO

Authors Khangaĭ. Ènkhbayar, Gankhuu Battulga, S. Batbileg

Publication date 11 November 2022

Published in The Bulletin of Irkutsk State University. Series Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://mathizv.isu.ru/en/article/file?id=1416

zbMATH Keywords

Basel II solvency constraintcredit ratingloan interest rateNash equilibrium modelone factor KMV/riskmetrics model

Mathematics Subject Classification ID

Noncooperative games (91A10) Applications of game theory (91A80) Credit risk (91G40)

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Cites work

• A New Projection Method for Variational Inequality Problems
• Competition among non-life insurers under solvency constraints: a game-theoretic approach
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Loan interest rate Nash models with solvency constraints in the banking sector
• Perturbation approach to generalized Nash equilibrium problems with shared constraints

Cited in

(2)

• Loan interest rate Nash models with solvency constraints in the banking sector
• Loan benchmark interest rate in banking duopoly model with heterogeneous expectation

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• QRM

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