Geodesic
Multi-period loan interest rate Nash model with Basel~II solvency constraint
The Bulletin of Irkutsk State University. Series Mathematics, Tome 41 (2022), pp. 3-18

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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.
Keywords: Nash equilibrium model, one factor KMV/Riskmetrics model, Basel II solvency constraint, credit rating, loan interest rate. 
@article{IIGUM_2022_41_a0,
     author = {Kh. Enkhbayar and G. Battulga and S. Batbileg},
     title = {Multi-period loan interest rate {Nash} model with {Basel~II} solvency constraint},
     journal = {The Bulletin of Irkutsk State University. Series Mathematics},
     pages = {3--18},
     publisher = {mathdoc},
     volume = {41},
     year = {2022},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/IIGUM_2022_41_a0/}
}
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Kh. Enkhbayar; G. Battulga; S. Batbileg. Multi-period loan interest rate Nash model with Basel~II solvency constraint. The Bulletin of Irkutsk State University. Series Mathematics, Tome 41 (2022), pp. 3-18. http://geodesic.mathdoc.fr/item/IIGUM_2022_41_a0/