Related papers: Systemic Risk Models for Disjoint and Overlapping …
This paper introduces a new method to achieve stable convergence to Nash equilibrium in duopoly noncooperative games. Inspired by the recent fixed-time Nash Equilibrium seeking (NES) as well as prescribed-time extremum seeking (ES) and…
Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. To this purpose, two approaches were suggested. In the first…
Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exchange exposures. Another network layer of systemic risk…
Generalized Nash equilibrium problems with mixed-integer variables constitute an important class of games in which each player solves a mixed-integer optimization problem, where both the objective and the feasible set is parameterized by…
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the…
We study the difference between the level of systemic risk that is empirically measured on an interbank network and the risk that can be deduced from the balance sheets composition of the participating banks. Using generalised DebtRank…
Finite-horizon probabilistic multiagent concurrent game systems, also known as finite multiplayer stochastic games, are a well-studied model in computer science due to their ability to represent a wide range of real-world scenarios…
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the…
Probabilistic model checking for stochastic games enables formal verification of systems that comprise competing or collaborating entities operating in a stochastic environment. Despite good progress in the area, existing approaches focus…
In normal times, it is assumed that financial institutions operating in non-overlapping sectors have complementary and distinct outcomes, typically reflected in mostly uncorrelated outcomes and asset returns. Such is the reasoning behind…
Following several episodes of financial market turmoil in recent decades, changes in systemic risk have drawn growing attention. Therefore, we propose surveillance schemes for systemic risk, which allow to detect misspecified systemic risk…
We consider $n$ risk-averse agents who compete for liquidity in an Almgren--Chriss market impact model. Mathematically, this situation can be described by a Nash equilibrium for a certain linear-quadratic differential game with state…
Management of systemic risk in financial markets is traditionally associated with setting (higher) capital requirements for market participants. There are indications that while equity ratios have been increased massively since the…
This paper aims to reduce the communication and computation costs of the Nash equilibrium seeking strategy for the $N$-coalition noncooperative games proposed in [1]. The objective is achieved in two manners: 1. An interference graph is…
Several notions of game enjoy a Nash-like notion of equilibrium without guarantee of existence. There are different ways of weakening a definition of Nash-like equilibrium in order to guarantee the existence of a weakened equilibrium.…
We study stochastic mean-field games among finite number of teams with large finite as well as infinite number of decision makers. For this class of games within static and dynamic settings, we establish the existence of a Nash equilibrium,…
Game-theoretic techniques and equilibria analysis facilitate the design and verification of competitive systems. While algorithmic complexity of equilibria computation has been extensively studied, practical implementation and application…
In this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. The presence of ties…
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate…
This paper explores aggregative games in a network of general linear systems subject to external disturbances. To deal with external disturbances, distributed strategy-updating rules based on internal model are proposed for the case with…