Related papers: Agent Simulation of Chain Bankruptcy
Digital banking and online communication have made modern bank runs faster and more networked than the canonical queue-at-the-branch setting. While equilibrium models explain why strategic complementarities generate run risk, they offer…
In recent times we hear increasingly often about cyber attacks on various commercial and strategic sites that manage to escape any defense. In this article, we model such attacks on networks via stochastic processes and predict the time of…
Trading activities in financial systems create various channels through which systemic risk can propagate. An important contagion channel is financial fire sales, where a bank failure causes asset prices to fall due to asset liquidation,…
In studies on complex network systems using graph theory, eigen-analysis is typically performed on an undirected graph model of the network. However, when analyzing cascading failures in a power system, the interactions among failures…
This work proposes a theoretical framework using a systemic modeling paradigm to implement computational agents in the simulation of organizations. The potential of its use is demonstrated in the modeling of supply chains. Finally, research…
In recent years, individual-based/agent-based modeling has been applied to study a wide range of applications, ranging from engineering problems to phenomena in sociology, economics and biology. Simulating such agent-based models over…
This mini-project models propagation of shocks, in time point, through links in connected banks. In particular, financial network of 100 banks out of which 15 are shocked to default (that is, 85.00% of the banks are solvent) is modelled…
We assess the market risk of the DeFi lending protocols using a multi-asset agent-based model to simulate ensembles of users subject to price-driven liquidation risk. Our multi-asset methodology shows that the protocol's systemic risk is…
Simulating potential cascading failures can be useful for avoiding or mitigating such events. Currently, existing steady-state analysis tools are ill-suited for simulating cascading outages as they do not model frequency dependencies, they…
A reaction network is a chemical system involving multiple reactions and chemical species. Stochastic models of such networks treat the system as a continuous time Markov chain on the number of molecules of each species with reactions as…
The interbank market is considered one of the most important channels of contagion. Its network representation, where banks and claims/obligations are represented by nodes and links (respectively), has received a lot of attention in the…
Financial markets are exposed to systemic risk, the risk that a substantial fraction of the system ceases to function and collapses. Systemic risk can propagate through different mechanisms and channels of contagion. One important form of…
Interbank contagion can theoretically exacerbate losses in a financial system and lead to additional cascade defaults during downturn. In this paper we produce default analysis using both regression and neural network models to verify…
We investigate an agent-based model for the emergence of corruption in public contracts. There are two types of agents: business people and public servants. Both business people and public servants can adopt two strategies: corrupt or…
Financial networks are dynamic. To assess their systemic importance to the world-wide economic network and avert losses we need models that take the time variations of the links and nodes into account. Using the methodology of classical…
We present a novel model to simulate real social networks of complex interactions, based in a granular system of colliding particles (agents). The network is build by keeping track of the collisions and evolves in time with correlations…
We introduce a probabilistic framework that represents stylized banking networks with the aim of predicting the size of contagion events. Most previous work on random financial networks assumes independent connections between banks, whereas…
Recently, there has been a growing interest in network research, especially in these fields of biology, computer science, and sociology. It is natural to address complex financial issues such as the European sovereign debt crisis from the…
We present a simple continuous-time model of clearing in financial networks. Financial firms are represented as "tanks" filled with fluid (money), flowing in and out. Once "pipes" connecting "tanks" are open, the system reaches the clearing…
This paper proposes a strategic multi layers model based on multi agents approach for supply chain system. It introduces a formulation and a solution methodology for the problem of supply chain design and modeling. In this paper we describe…