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...

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...

In a Small Fish War two agents interacting on a body of water have essentially two options: they can …fish with restraint or without. Fishing with restraint is not harmful; …shing without yields a higher immediate catch, but may induce lower future catches. Inspired by recent work in biology,...

Games with frequency-dependent stage payoffs (FD-games), are infinitely repeated non-cooperative games played at discrete moments in time called stages. The stage payoffs depend on the action pair actually chosen, and on the relative frequencies with which all actions were chosen before. We...

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...