Large Banks and Systemic Risk:Insights from a Mean-Field Game Model  

作　　者：CHANG Yuanyuan FIROOZI Dena BENATIA David 

机构地区：[1]Department of Decision Sciences,HEC Montréal,Montreal H3T 2A7,Canada [2]Department of Applied Economics,HEC Montréal,Montréal H3T 2A7,Canada

出　　处：《Journal of Systems Science & Complexity》2025年第1期460-494,共35页系统科学与复杂性学报(英文版)

基　　金：supported by the Natural Sciences and Engineering Research Council of Canada(NSERC)under Grant No.RGPIN-2022-05337;the Social Sciences and Humanities Research Council of Canada under GrantNo.430-2022-00544.

摘　　要：This paper presents a dynamic game framework to analyze the role of large banks in interbank markets.By extending existing models,a large bank is incorporated as a dynamic decision-maker interacting with multiple small banks.Using the mean-field game methodology and convex analysis,best-response trading strategies are derived,leading to an approximate equilibrium for the interbank market.The influence of the large bank is investigated on the market stability by examining individual default probabilities and systemic risk,through the use of Monte Carlo simulations.The proposed findings reveal that,when the size of the major bank is not excessively large,it can positively contribute to market stability.However,there is also the potential for negative spillover effects in the event of default,leading to an increase in systemic risk.The magnitude of this impact is further influenced by the size and trading rate of the major bank.Overall,this study provides valuable insights into the management of systemic risk in interbank markets.

关 键 词：Interbank market large banks mathematical finance mean-field games small banks systemic risk 

分 类 号：F830[经济管理—金融学]