发帖
雷达卡
英文标题：
《Systemic Risk and Stochastic Games with Delay》
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作者：
Rene Carmona, Jean-Pierre Fouque, Seyyed Mostafa Mousavi, Li-Hsien Sun
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最新提交年份：
2016
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英文摘要：
We propose a model of inter-bank lending and borrowing which takes into account clearing debt obligations. The evolution of log-monetary reserves of $N$ banks is described by coupled diffusions driven by controls with delay in their drifts. Banks are minimizing their finite-horizon objective functions which take into account a quadratic cost for lending or borrowing and a linear incentive to borrow if the reserve is low or lend if the reserve is high relative to the average capitalization of the system. As such, our problem is an $N$-player linear-quadratic stochastic differential game with delay. An open-loop Nash equilibrium is obtained using a system of fully coupled forward and advanced backward stochastic differential equations. We then describe how the delay affects liquidity and systemic risk characterized by a large number of defaults. We also derive a close-loop Nash equilibrium using an HJB approach.
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中文摘要：
我们提出了一个考虑清算债务的银行间借贷模型。由控制驱动的耦合扩散及其漂移延迟描述了N$银行对数货币储备的演变。银行正在最小化其有限期目标函数，该目标函数考虑了借贷的二次成本以及在准备金较低时借贷的线性激励，或在准备金相对系统平均资本化较高时借贷的线性激励。因此，我们的问题是一个具有时滞的$N$游戏者线性二次随机微分对策。利用一个完全耦合的前向和后向随机微分方程组，得到了一个开环纳什均衡。然后，我们描述延迟如何影响以大量违约为特征的流动性和系统性风险。我们还使用HJB方法推导了闭环纳什均衡。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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