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«THE BULLETIN OF IRKUTSK STATE UNIVERSITY». SERIES «MATHEMATICS»
«IZVESTIYA IRKUTSKOGO GOSUDARSTVENNOGO UNIVERSITETA». SERIYA «MATEMATIKA»
ISSN 1997-7670 (Print)
ISSN 2541-8785 (Online)

List of issues > Series «Mathematics». 2022. Vol 41

Multi-Period Loan Interest Rate Nash Model with Basel II Solvency Constraint

Author(s)
Kh. Enkhbayar, 1 G. Battulga2, S. Batbileg2

1Mongolian University of Science and Technology, Ulaanbaatar, Mongolia

2National University of Mongolia, Ulaanbaatar, Mongolia

Abstract
This paper introduces multi–period loan interest rate Nash game models in the banking sector under regulatory solvency constraints. By taking solvency constraint as Basel II and modelling economic condition as AR(1) process, we obtain results regarding the existence of loan interest rate equilibrium. A sensitivity analysis for the solvency constraint model and some numerical results are presented.
About the Authors

Khangai Enkhbayar, Senior Lecturer, Mongolian University of Science and Technology, Ulaanbaatar, 14191, Mongolia, eegii33@must.edu.mn

Gankhuu Battulga, Senior Lecturer, National University of Mongolia, Ulaanbaatar, 14201, Mongolia, battulga.g@seas.num.edu.mn

Sukhee Batbileg, Cand. Sci. (Phys.Math.), Assoc. Prof., National University of Mongolia, Ulaanbaatar, 14201, Mongolia, batbileg@seas.num.edu.mn

For citation
Enkhbayar Kh., Battulga G., Batbileg S. Multi–Period Loan Interest Rate Nash Model with Basel II Solvency Constraint. The Bulletin of Irkutsk State University.Series Mathematics, 2022, vol. 41, pp. 3–18. https://doi.org/10.26516/1997-7670.2022.41.3
Keywords
Nash equilibrium model, one factor KMV/Riskmetrics model, Basel II solvency constraint, credit rating, loan interest rate
UDC
519.8
MSC
91A06, 91A10, 91G40
DOI
https://doi.org/10.26516/1997-7670.2022.41.3
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