We study the system of heterogeneous interbank lending and borrowing based on the relative average of log-capitalization through the linear combination of the average within groups and the ensemble average and describe the evolution of log-capitalization by a system of coupled diffusions. The model incorporates a game feature with homogeneity within groups and heterogeneity between groups where banks search for the optimal lending or borrowing strategies and intend to minimize the heterogeneous linear quadratic costs in order to remain survival in the system. In addition, the corresponding heterogeneous mean filed game is also discussed.
|Effective start/end date||1/08/19 → 31/07/20|
UN Sustainable Development Goals
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This project contributes towards the following SDG(s):
- Systemic risk
- inter-bank borrowing and lending system
- heterogeneous group
- relative performance
- bubble asset
- Nash equilibrium
- Mean Field Game
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