The Effect of Coalition Compositions on Mortgage Lending Parameters

Abstract

The work continues researches on self-financing of the coalition of borrowers. The main stages of work are stated: problem definition, examples of possible strategy, and computing experiments. A coalition of borrowers is being considered, which in its organizational structure looks like a traditional bank. We formulate a discrete-time model, and the corresponding control problem boils down to solving a bilevel optimization problem. The choice of optimal deposit and loan rates is proposed using the parameter space investigation method. The result of a computational experiment is given.