This work develops an agent-based model for the study of how the leverage through the use of repurchase agreements can function as a mechanism for the propagation and amplification of financial shocks in a financial system. Based on the analysis of financial intermediaries in the repo and interbank lending markets during the 2007-08 financial crisis we develop a model that can be used to simulate the dynamics of financial contagion.
@article{arxiv.1703.07513,
title = {An Agent-based Model of Contagion in Financial Networks},
author = {Leonardo dos Santos Pinheiro and Flavio Codeco COelho},
journal= {arXiv preprint arXiv:1703.07513},
year = {2017}
}