A bank's liquidity risk lays in the intersection of funding risk and market liquidity risk. We offer a mathematical framework to make Economic Capital and RAROC sensitive to illiquidity. We introduce the concept of a liquidity cost profile as a quantification of a bank's illiquidity at balance...

A two-person general-sum repeated game with vanishing actions is an infinitely repeated game where the players face the following restrictions. Each action must be used by player k ∈ {1,2} at least once in every rk ∈ ℕ consecutive stages, otherwise the action vanishes for the remaining...

We introduce a stochastic game in which transition probabilities depend on the history of the play, i.e., the players’ past action choices. To solve this new type of game under the limiting average reward criterion, we determine the set of jointly-convergent pure-strategy rewards which can be...