A generalized Nash equilibrium problem arising in banking regulation: An existence result with Tarski's theorem - Lille Économie Management Accéder directement au contenu
Article Dans Une Revue Operations Research Letters Année : 2023

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

Résumé

When hit with an adverse shock, banks that do not comply with capital regulation sell risky assets to satisfy their solvency constraint. When financial markets are imperfectly competitive, this naturally gives rise to a GNEP. We consider a new framework with an arbitrary number of banks and assets, and show that Tarski's theorem can be used to prove the existence of a Nash equilibrium when markets are sufficiently competitive. We also prove the existence of ϵ-Nash equilibria.

Dates et versions

hal-03967896 , version 1 (01-02-2023)

Identifiants

Citer

Yann Braouezec, Keyvan Kiani. A generalized Nash equilibrium problem arising in banking regulation: An existence result with Tarski's theorem. Operations Research Letters, 2023, 51 (1), pp.105-110. ⟨10.1016/j.orl.2022.12.003⟩. ⟨hal-03967896⟩
18 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More