Related papers: Systemic Risk and Interbank Lending
In game theory, the concept of Nash equilibrium reflects the collective stability of some individual strategies chosen by selfish agents. The concept pertains to different classes of games, e.g. the sequential games, where the agents play…
This thesis is going to give a gentle introduction to Mean Field Games. It aims to produce a coherent text beginning for simple notions of deterministic control theory progressively to current Mean Field Games theory. The framework…
We study a family of mean field games with a state variable evolving as a multivariate jump diffusion process. The jump component is driven by a Poisson process with a time-dependent intensity function. All coefficients, i.e. drift,…
We introduce a mean field model for optimal holding of a representative agent of her peers as a natural expected scaling limit from the corresponding $N-$agent model. The induced mean field dynamics appear naturally in a form which is not…
The standard risk minimization paradigm of machine learning is brittle when operating in environments whose test distributions are different from the training distribution due to spurious correlations. Training on data from many…
In our model, private actors with interbank cash flows similar to, but nore general than (Carmona, Fouque, Sun, 2013) borrow from the outside economy at a certain interest rate, controlled by the central bank, and invest in risky assets.…
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by…
A general class of mean field games are considered where the governing dynamics are controlled diffusions in $\mathbb{R}^d$. The optimization criterion is the long time average of a running cost function. Under various sets of hypotheses,…
We analyze the systemic risk for disjoint and overlapping groups (e.g., central clearing counterparties (CCP)) by proposing new models with realistic game features. Specifically, we generalize the systemic risk measure proposed in [F.…
We present and analyze a model for the evolution of the wealth distribution within a heterogeneous economic environment. The model considers a system of rational agents interacting in a game theoretical framework, through fairly general…
This work considers stochastic differential games with a large number of players, whose costs and dynamics interact through the empirical distribution of both their states and their controls. We develop a new framework to prove convergence…
We construct a diffusion approximation of a repeated game in which agents make bets on outcomes of i.i.d. random vectors and their strategies are close to an asymptotically optimal strategy. This model can be interpreted as trading in an…
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…
Examining the behavior of multi-agent systems is vitally important to many emerging distributed applications - game theory has emerged as a powerful tool set in which to do so. The main approach of game-theoretic techniques is to model…
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
This paper provides a framework for modeling financial contagion in a network subject to fire sales and price impacts, but allowing for firms to borrow to cover their shortfall as well. We consider both uncollateralized and collateralized…
We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. More precisely, the paper focusses on a strategic dynamic…
A class of nonzero-sum stochastic dynamic games with imperfect information structure is investigated. The game involves an arbitrary number of players, modeled as homogeneous Markov decision processes, aiming to find a sequential Nash…
We propose a minimal model of the secured interbank network able to shed light on recent money markets puzzles. We find that excess liquidity emerges due to the interactions between the reserves and liquidity ratio constraints; the…