Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Large Banking Systems with Default and Recovery: A Mean Field Game Model   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 distribution of reserves in the banking
system. The systemic risk problem of financial institutions is understood as a
blow-up phenomenon of the Fokker-Planck equation. Then, we incorporate in the
model an optimization component by letting the institutions control part of
their dynamics in order to minimize their expected risk. Phrasing this
optimization problem as a mean-field game, we provide an explicit solution in a
special case and, in the general case, we report numerical experiments based on
a finite difference scheme.

8
The categories of this paper are: hep-ex
0
The categories of this paper are: hep-ph
18
The categories of this paper are: econ
22
The categories of this paper are: chao-dyn
10
The categories of this paper are: q-bio
37
The categories of this paper are: supr-con
25
The categories of this paper are: patt-sol
27
The categories of this paper are: comp-gas
20
The categories of this paper are: acc-phys
15
The categories of this paper are: nucl-ex
4
The categories of this paper are: cond-mat
21
The categories of this paper are: adap-org
29
The categories of this paper are: funct-an
1
The categories of this paper are: cs
34
The categories of this paper are: chem-ph
28
The categories of this paper are: alg-geom