A generalized Nash equilibrium problem arising in banking regulation: an existence result with Tarski's theorem

DOI10.1016/J.ORL.2022.12.003MaRDI QIDQ6161293zbMATH OpenWikidataFDO

Authors Yann Braouezec, Keyvan Kiani

Publication date 27 June 2023

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ORL.2022.12.003

zbMATH Keywords

asset salesbanking regulationCournot oligopolygeneralized gamesTarski's fixed point theorem

Mathematics Subject Classification ID

General equilibrium theory (91B50) Special types of economic markets (including Cournot, Bertrand) (91B54) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• A lattice-theoretical fixpoint theorem and its applications
• Capital regulation under price impacts and dynamic financial contagion
• Existence of an Equilibrium for a Competitive Economy
• Financial contagion and asset liquidation strategies
• Finitely additive and epsilon Nash equilibria
• scientific article; zbMATH DE number 6969558 (Why is no real title available?)
• Nash equilibrium with strategic complementarities
• On generalized Nash games and variational inequalities
• Price mediated contagion through capital ratio requirements with VWAP liquidation prices
• Strategic fire-sales and price-mediated contagion in the banking system

Cited in

(3)

• An Excursion-Theoretic Approach to Regulator’s Bank Reorganization Problem
• Interbank asset-liability networks with fire sale management
• Convergence rate of a unified prediction-correction algorithm for linearly constrained equilibrium problems

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