Multi-Period Loan Interest Rate Nash Model with Basel II Solvency Constraint
This paper introduces multi–period loan interest rate Nash game models in the banking sector under regulatory solvency constraints. By taking solvency constraint as Basel II and modelling economic condition as AR(1) process, we obtain results regarding the existence of loan interest rate equilibrium...
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| Format: | Article |
| Language: | English |
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Irkutsk State University
2022-09-01
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| Series: | Известия Иркутского государственного университета: Серия "Математика" |
| Subjects: | |
| Online Access: | https://mathizv.isu.ru/en/article/file?id=1416 |
| _version_ | 1798035930721812480 |
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| author | Kh. Enkhbayar G. Battulga S. Batbileg |
| author_facet | Kh. Enkhbayar G. Battulga S. Batbileg |
| author_sort | Kh. Enkhbayar |
| collection | DOAJ |
| description | This paper introduces multi–period loan interest rate Nash game models in the banking sector under regulatory solvency constraints. By taking solvency constraint as Basel II and modelling economic condition as AR(1) process, we obtain results regarding the existence of loan interest rate equilibrium. A sensitivity analysis for the solvency constraint model and some numerical results are presented. |
| first_indexed | 2024-04-11T21:05:15Z |
| format | Article |
| id | doaj.art-b9e0aeb379314d35810f48235ec13e3a |
| institution | Directory Open Access Journal |
| issn | 1997-7670 2541-8785 |
| language | English |
| last_indexed | 2024-04-11T21:05:15Z |
| publishDate | 2022-09-01 |
| publisher | Irkutsk State University |
| record_format | Article |
| series | Известия Иркутского государственного университета: Серия "Математика" |
| spelling | doaj.art-b9e0aeb379314d35810f48235ec13e3a2022-12-22T04:03:22ZengIrkutsk State UniversityИзвестия Иркутского государственного университета: Серия "Математика"1997-76702541-87852022-09-01411318https://doi.org/10.26516/1997-7670.2022.41.3Multi-Period Loan Interest Rate Nash Model with Basel II Solvency ConstraintKh. EnkhbayarG. BattulgaS. BatbilegThis paper introduces multi–period loan interest rate Nash game models in the banking sector under regulatory solvency constraints. By taking solvency constraint as Basel II and modelling economic condition as AR(1) process, we obtain results regarding the existence of loan interest rate equilibrium. A sensitivity analysis for the solvency constraint model and some numerical results are presented.https://mathizv.isu.ru/en/article/file?id=1416nash equilibrium modelone factor kmv/riskmetrics modelbasel ii solvency constraintcredit ratingloan interest rate |
| spellingShingle | Kh. Enkhbayar G. Battulga S. Batbileg Multi-Period Loan Interest Rate Nash Model with Basel II Solvency Constraint Известия Иркутского государственного университета: Серия "Математика" nash equilibrium model one factor kmv/riskmetrics model basel ii solvency constraint credit rating loan interest rate |
| title | Multi-Period Loan Interest Rate Nash Model with Basel II Solvency Constraint |
| title_full | Multi-Period Loan Interest Rate Nash Model with Basel II Solvency Constraint |
| title_fullStr | Multi-Period Loan Interest Rate Nash Model with Basel II Solvency Constraint |
| title_full_unstemmed | Multi-Period Loan Interest Rate Nash Model with Basel II Solvency Constraint |
| title_short | Multi-Period Loan Interest Rate Nash Model with Basel II Solvency Constraint |
| title_sort | multi period loan interest rate nash model with basel ii solvency constraint |
| topic | nash equilibrium model one factor kmv/riskmetrics model basel ii solvency constraint credit rating loan interest rate |
| url | https://mathizv.isu.ru/en/article/file?id=1416 |
| work_keys_str_mv | AT khenkhbayar multiperiodloaninterestratenashmodelwithbaseliisolvencyconstraint AT gbattulga multiperiodloaninterestratenashmodelwithbaseliisolvencyconstraint AT sbatbileg multiperiodloaninterestratenashmodelwithbaseliisolvencyconstraint |