ABSTRACT

This paper attempts to study loan interest rate Nash game models in the banking sector under regulatory solvency constraints. By taking solvency constraints as Basel I, Basel II, and Expected Shortfall (ES), we obtain results regarding the existence of loan interest rate equilibrium. A sensitivity analysis for solvency models and some numerical results are presented. Numerical results show that the weighted loan interest rate of the Mongolian banking system is consistent with the base case of the theoretical weighted loan interest rate corresponding to the Nash equilibrium.

中文翻译：

---

具有银行偿付能力约束的贷款利率纳什模型

摘要

本文试图研究监管偿付能力约束下银行业的贷款利率纳什博弈模型。通过将偿付能力约束设为巴塞尔协议I，巴塞尔协议II和预期缺口（ES），我们获得了有关贷款利率均衡存在的结果。提出了偿付能力模型的敏感性分析和一些数值结果。数值结果表明，蒙古银行体系的加权贷款利率与纳什均衡对应的理论加权贷款利率的基本情况是一致的。