• Corpus ID: 210932689

Large Banking Systems with Default and Recovery: A Mean Field Game Model

@article{Elie2020LargeBS,
  title={Large Banking Systems with Default and Recovery: A Mean Field Game Model},
  author={Romuald Elie and Tomoyuki Ichiba and Mathieu Lauri{\`e}re},
  journal={arXiv: Optimization and Control},
  year={2020}
}
We consider a mean-field model for large banking systems, which takes into account default and recovery of the institutions. Building on models used for groups of interacting neurons, we first study a McKean-Vlasov dynamics and its evolutionary Fokker-Planck equation in which the mean-field interactions occur through a mean-reverting term and through a hitting time corresponding to a default level. The latter feature reflects the impact of a financial institution's default on the global… 

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