Related papers: Systemic Risk Models for Disjoint and Overlapping …
Prediction is a well-studied machine learning task, and prediction algorithms are core ingredients in online products and services. Despite their centrality in the competition between online companies who offer prediction-based products,…
We study a model of clearing in an interbank network with crossholdings and default charges. Following the Eisenberg--Noe approach, we define the model via a set of natural financial regulations including those related with eventual default…
This work proposes a novel distributed approach for computing a Nash equilibrium in convex games with restricted strongly monotone pseudo-gradients. By leveraging the idea of the centralized operator extrapolation method presented in [4] to…
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk measures that allow for random allocations to individual…
This paper is concerned with a new class of mean-field games which involve a finite number of agents. Necessary and sufficient conditions are obtained for the existence of the decentralized open-loop Nash equilibrium in terms of…
This paper introduces risk-revising players to a class of games with incomplete information. These players enter the game with ex ante risk preferences represented by coherent risk measures and develop time-consistent interim revisions of…
We design a distributed algorithm to seek generalized Nash equilibria of a robust game with uncertain coupled constraints. Due to the uncertainty of parameters in set constraints, we aim to find a generalized Nash equilibrium in the worst…
Distributed Nash equilibrium (NE) seeking problem for multi-coalition games has attracted increasing attention in recent years, but the research mainly focuses on the case without agreement demand within coalitions. This paper considers a…
Measurement and management of credit concentration risk is critical for banks and relevant for micro-prudential requirements. While several methods exist for measuring credit concentration risk within institutions, the systemic effect of…
In this work, we investigate the distributed generalized Nash equilibrium (GNE) seeking problems for $N$-coalition games with inequality constraints. First, we study the scenario where each agent in a coalition has full information of all…
The policy objective of safeguarding financial stability has stimulated a wave of research on systemic risk analytics, yet it still faces challenges in measurability. This paper models systemic risk by tapping into expert knowledge of…
We study turn-based quantitative multiplayer non zero-sum games played on finite graphs with reachability objectives. In such games, each player aims at reaching his own goal set of states as soon as possible. A previous work on this model…
In this paper, we investigate the noncooperative games of multi-agent systems. Different from existing noncooperative games, our formulation involves the high-order nonlinear dynamics of players, and the communication topologies among…
The study of systemic risk is often presented through the analysis of several measures referring to quantities used by practitioners and policy makers. Almost invariably, those measures evaluate the size of the impact that exogenous events…
We study connections between optimistic bilevel programming problems and Generalized Nash Equilibrium Problems (GNEP)s. We remark that, when addressing bilevel problems, we consider the general case in which the lower level program is not…
We consider a market impact game for $n$ risk-averse agents that are competing in a market model with linear transient price impact and additional transaction costs. For both finite and infinite time horizons, the agents aim to minimize a…
The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network…
In this paper, Nash equilibrium seeking among a network of players is considered. Different from many existing works on Nash equilibrium seeking in non-cooperative games, the players considered in this paper cannot directly observe the…
Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward function with a general risk measure which is i)…
Nash equilibria provide a principled framework for modeling interactions in multi-agent decision-making and control. However, many equilibrium-seeking methods implicitly assume that each agent has access to the other agents' objectives and…