A generalized Nash equilibrium problem arising in banking regulation: An existence result with Tarski's theorem

Yann Braouezec and Keyvan Kiani ()
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Yann Braouezec: LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique
Keyvan Kiani: EM - EMLyon Business School, LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique

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Abstract: When hit with an adverse shock, banks that do not comply with capital regulation sell risky assets to satisfy their solvency constraint. When financial markets are imperfectly competitive, this naturally gives rise to a GNEP. We consider a new framework with an arbitrary number of banks and assets, and show that Tarski's theorem can be used to prove the existence of a Nash equilibrium when markets are sufficiently competitive. We also prove the existence of ϵ-Nash equilibria.

Keywords: Generalized games; Banking regulation; Cournot oligopoly; Asset sales; Tarski's fixed point theorem (search for similar items in EconPapers)
Date: 2023-01
Note: View the original document on HAL open archive server: https://hal.science/hal-03967896v1
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Citations: View citations in EconPapers (1)

Published in Operations Research Letters, 2023, 51 (1), pp.105-110. ⟨10.1016/j.orl.2022.12.003⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03967896

DOI: 10.1016/j.orl.2022.12.003

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