English  |  正體中文  |  简体中文  |  Items with full text/Total items : 68069/68069 (100%)
Visitors : 23145386      Online Users : 175
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version


    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/82283


    Title: 金融系統性風險與泡沫資產下之隨機賽局;Systemic Risk and Heterogeneous Group Mean Field Games with Bubble Assets
    Authors: 孫立憲
    Contributors: 國立中央大學統計研究所
    Keywords: 系統風險;變異群組隨機賽局;銀行借貸系統;納許均衡;泡沫資產;Systemic risk;inter-bank borrowing and lending system;heterogeneous group;relative performance;bubble asset;Nash equilibrium;Mean Field Game
    Date: 2020-01-13
    Issue Date: 2020-01-13 14:36:37 (UTC+8)
    Publisher: 科技部
    Abstract: 我們應用隨機賽局來針對銀行借貸系統之間做一些分析。在此一模型中,我們假設銀行間的借貸是依據組內平均以及整體平均的線性組合來決定的,並且,為了使得模型更加具有一般性,更近一步假設組間參數的歧異性並且假設大銀行被允許持有泡沫資產。我們試圖尋求此一隨機賽局的納許均衡,並且根據此一均衡,做出相對應在財務上的推論以期提出一個對財務系統風險的看法與解釋。 ;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.
    Relation: 財團法人國家實驗研究院科技政策研究與資訊中心
    Appears in Collections:[統計研究所] 研究計畫

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML56View/Open


    All items in NCUIR are protected by copyright, with all rights reserved.

    社群 sharing

    ::: Copyright National Central University. | 國立中央大學圖書館版權所有 | 收藏本站 | 設為首頁 | 最佳瀏覽畫面: 1024*768 | 建站日期:8-24-2009 :::
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback  - 隱私權政策聲明