Game-theoretic Approach to Assigning Credit Ratings

Student: Garmashov Ilia

Supervisor: Victor A Lapshin

Faculty: St.Petersburg School of Economics and Management

Educational Programme: Economics (Bachelor)

Year of Graduation: 2019

This paper performs the study of the behavior of economic agents of the credit rating sector: investors, credit rating agency and issuers in the conditions of agency’s monopoly. The relevance of the study lies in the constantly in-creasing attention to credit ratings and their quality, as well as to the problems of regulation in this area. To achieve designated problem, a theoretical model based on Nash equilibrium was constructed and solved. Graphs were built with mathematical software Maple 17 to visualize the results. The results showed number of economic relationships, which are con-sistent with the existing laws of supply and demand, as well as have a number of interesting conclusions. The values of some criteria characterizing the devel-opment of the market, such as the reliability of the market or the level of finan-cial literacy, were also derived.

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