Related papers: Agent Simulation of Chain Bankruptcy
In today's global economy, supply chain (SC) entities have become increasingly interconnected with demand and supply relationships due to the need for strategic outsourcing. Such interdependence among firms not only increases efficiency but…
An analysis of the Japanese credit market in 2004 between banks and quoted firms is done in this paper using the tools of the networks theory. It can be pointed out that: (i) a backbone of the credit channel emerges, where some links play a…
The current global financial system forms a highly interconnected network where a default in one of its nodes can propagate to many other nodes, causing a catastrophic avalanche effect. In this paper we consider the problem of reducing the…
It had been believed in the conventional practice that the risk of a bank going bankrupt is lessened in a straightforward manner by transferring the risk of loan defaults. But the failure of American International Group in 2008 posed a more…
We propose that a tree-like hierarchical structure represents a simple and effective way to model the emergent behaviour of financial markets, especially markets where there exists a pronounced intersection between social media influences…
In complex financial systems, the sector structure and volatility clustering are respectively important features of the spatial and temporal correlations. However, the microscopic generation mechanism of the sector structure is not yet…
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…
Operational risk is the risk relative to monetary losses caused by failures of bank internal processes due to heterogeneous causes. A dynamical model including both spontaneous generation of losses and generation via interactions between…
The fragility of financial systems was starkly demonstrated in early 2023 through a cascade of major bank failures in the United States, including the second, third, and fourth largest collapses in the US history. The highly interdependent…
We study a model in which shocks propagate along a path chosen by agents embedded in a network. When a shock hits an agent, the affected agent cancels one of her outgoing edges. This cancellation cascades sequentially along a chosen path…
Risks threatening modern societies form an intricately interconnected network that often underlies crisis situations. Yet, little is known about how risk materializations in distinct domains influence each other. Here we present an approach…
Risk management resulting from the actions and states of the different elements making up a operating room is a major concern during a surgical procedure. Agent-based simulation shows an interest through its interaction concepts,…
We derive the default cascade model and the fire-sale spillover model in a unified interdependent framework. The interactions among banks include not only direct cross-holding, but also indirect dependency by holding mutual assets outside…
Measurement and management of credit concentration risk is critical for banks and relevant for micro-prudential requirements. While several methods exist for measuring credit concentration risk within institutions, the systemic effect of…
Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to…
This paper presents a simulation for traffic evacuation during railway disruptions to enhance urban resilience. The research focuses on large-scale railway networks and provides flexible simulation settings to accommodate multiple node or…
Global catastrophic risk events, such as nuclear war, pose a severe threat to the stability of international financial systems. As evidenced by even less severe scenarios like the Great Recession, an economic failure can propagate through…
Often models for understanding the impact of management practices on retail performance are developed under the assumption of stability, equilibrium and linearity, whereas retail operations are considered in reality to be dynamic,…
Agent-based modeling is a paradigm of modeling dynamic systems of interacting agents that are individually governed by specified behavioral rules. Training a model of such agents to produce an emergent behavior by specification of the…
This paper introduces a traffic evacuation model for railway disruptions to improve resilience. The research focuses on the problem of failure of several nodes or lines on the railway network topology. We proposed a holistic approach that…