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.

Fichier principal
Vignette du fichier
S0167637722001754.pdf (387.24 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Licence

Dates et versions

hal-03967896 , version 1 (08-01-2025)

Licence

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⟩
97 Consultations
126 Téléchargements

Altmetric

Partager

  • More