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

DOI10.26516/1997-7670.2022.41.3zbMath1504.91324OpenAlexW4296168696MaRDI QIDQ2097313

Khangaĭ. Ènkhbayar, Gankhuu Battulga, Sukhee Batbileg

Publication date: 11 November 2022

Published in: Izvestiya Irkutskogo Gosudarstvennogo Universiteta. Seriya Matematika (Search for Journal in Brave)

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

zbMATH Keywords

credit ratingBasel II solvency constraintloan interest rateNash equilibrium modelone factor KMV/riskmetrics model

Mathematics Subject Classification ID

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

Uses Software

• QRM

Cites Work

• Unnamed Item
• Perturbation approach to generalized Nash equilibrium problems with shared constraints
• Competition among non-life insurers under solvency constraints: a game-theoretic approach
• A New Projection Method for Variational Inequality Problems
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Loan interest rate Nash models with solvency constraints in the banking sector

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