A generalized Nash equilibrium problem arising in banking regulation: An existence result with Tarski's theorem
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- handle: 10670/1.2xt3u9
- hal: hal-03967896
- doi: 10.1016/j.orl.2022.12.003
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.orl.2022.12.003
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Generalized games Banking regulation Cournot oligopoly Asset sales Tarski's fixed point theoremSujets proches
Public markets Balancing (Physics) Balance (Physics) Balance Banking Banking industry Commercial banks Agricultural banks Depository institutionsCiter ce document
Yann Braouezec et al., « A generalized Nash equilibrium problem arising in banking regulation: An existence result with Tarski's theorem », HAL-SHS : économie et finance, ID : 10.1016/j.orl.2022.12.003
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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.