Related papers: Systemic Risk and Interbank Lending

This paper develops a dynamic monetary model to study the (in)stability of the fractional reserve banking system. The model shows that the fractional reserve banking system can endanger stability in that equilibrium is more prone to exhibit…

This article is related to risk-sensitive nonzero-sum stochastic differential games in the Markovian framework. This game takes into account the attitudes of the players toward risk and the utility is of exponential form. We show the…

We investigate the macroeconomic consequences of narrow banking in the context of stock-flow consistent models. We begin with an extension of the Goodwin-Keen model incorporating time deposits, government bills, cash, and central bank…

We consider a mean field game describing the limit of a stochastic differential game of $N$-players whose state dynamics are subject to idiosyncratic and common noise and that can be absorbed when they hit a prescribed region of the state…

In many stochastic games stemming from financial models, the environment evolves with latent factors and there may be common noise across agents' states. Two classic examples are: (i) multi-agent trading on electronic exchanges, and (ii)…

We extend the potential-based shaping method from Markov decision processes to multi-player general-sum stochastic games. We prove that the Nash equilibria in a stochastic game remains unchanged after potential-based shaping is applied to…

We consider a general class of finite-player stochastic games with mean-field interaction, in which the linear-quadratic cost functional includes linear operators acting on controls in $L^2$. We propose a novel approach for deriving the…

This paper is concerned with an indefinite linear-quadratic mean field games of stochastic large-population system, where the individual diffusion coefficients can depend on both the state and the control of the agents. Moreover, the…

We investigate mean field games for players, who are weakly coupled via their empirical measure. To this end we investigate time-dependent pure jump type propagators over a finite space in the framework of non-linear Markov processes. We…

We consider a large queueing system that consists of many strategic servers that are weakly interacting. Each server processes jobs from its unique critically loaded buffer and controls the rate of arrivals and departures associated with…

In this paper, we develop a mean-field game model for SEIR epidemics on heterogeneous contact networks, where individuals choose state-dependent contact effort to balance infection losses against the social and economic costs of isolation.…

This paper introduces a novel class of multi-stage resource allocation games that model real-world scenarios in which profitability depends on the balance between supply and demand, and where higher resource investment leads to greater…

This paper studies relative arbitrage opportunities in a market with competitive investors through stochastic differential games in the limit as the number of players tends to infinity. With common noises introduced by the stock…

In this paper, we present a model of a game among teams. Each team consists of a homogeneous population of agents. Agents within a team are cooperative while the teams compete with other teams. The dynamics and the costs are coupled through…

We use the Markov chain approximation method to construct approximations for the solution of the mean field game (MFG) with reflecting barriers studied in Bayraktar, Budhiraja, and Cohen (2017). The MFG is formulated in terms of a…

We introduce and study a two-player zero-sum game between a probabilist and Nature defined by a convex function $f$, a finite collection $\mathcal{B}$ of Markov generators (or its convex hull), and a target distribution $\pi$. The…

The game-theoretic risk management framework put forth in the precursor work "Towards a Theory of Games with Payoffs that are Probability-Distributions" (arXiv:1506.07368 [q-fin.EC]) is herein extended by algorithmic details on how to…

We construct Nash-equilibria in mean-field portfolio games of optimal investment and hedging under relative performance concerns with exponential (CARA) utility preferences. Common noise dynamics are modeled by integer-valued random…

In this paper, we consider discrete-time partially observed mean-field games with the risk-sensitive optimality criterion. We introduce risk-sensitivity behaviour for each agent via an exponential utility function. In the game model, each…

Deciding bank interest rates has been a long-standing challenge in finance. It is crucial to ensure that the selected rates balance market share and profitability. However, traditional approaches typically focus on the interest rate changes…