Related papers: Agent Simulation of Chain Bankruptcy
The credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however, demonstrates that the losses in certain…
The power of networks manifests itself in a highly non-linear amplification of a number of effects, and their weakness - in propagation of cascading failures. The potential systemic risk effects can be either exacerbated or mitigated,…
A problem of optimal debt management is modeled as a noncooperative game between a borrower and a pool of lenders, in infinite time horizon with exponential discount. The yearly income of the borrower is governed by a stochastic process.…
The inability to see and quantify systemic financial risk comes at an immense social cost. Systemic risk in the financial system arises to a large extent as a consequence of the interconnectedness of its institutions, which are linked…
Agent-based models (ABMs) simulate the formation and evolution of social processes at a fundamental level by decoupling agent behavior from global observations. In the case where ABM networks evolve over time as a result of (or in…
This paper presents a simple agent-based model of an economic system, populated by agents playing different games according to their different view about social cohesion and tax payment. After a first set of simulations, correctly…
Major challenges for the transition of power systems do not only tackle power electronics but also communication technology, power market economy and user acceptance studies. Simulation is an important research method therein, as it helps…
Pandemics, notably the recent COVID-19 outbreak, have impacted both public health and the global economy. A profound understanding of disease progression and efficient response strategies is thus needed to prepare for potential future…
Systemic risk in banking systems remains a crucial issue that it has not been completely understood. In our toy model, banks are exposed to two sources of risks, namely, market risk from their investments in assets external to the banking…
We develop a structural default model for interconnected financial institutions in a probabilistic framework. For all possible network structures we characterize the joint default distribution of the system using Bayesian network…
Agent-based modeling (ABM) has emerged as a powerful tool in social policy-making and socio-economics, offering a flexible and dynamic approach to understanding and simulating complex systems. While traditional analytic methods may be less…
The recent financial crisis has sharply revealed that current understanding of the global financial system is more than limited. In the recovery plan the confidence in the underlying theory is crucial. To address the problem we propose the…
We provide a framework for detecting relevant insurance companies in a systemic risk perspective. Among the alternative methodologies for measuring systemic risk, we propose a complex network approach where insurers are linked to form a…
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the…
We argue that establishing the phase diagram of Agent Based Models (ABM) is a crucial first step, together with a qualitative understanding of how collective phenomena come about, before any calibration or more quantitative predictions are…
The dynamics of protection processes has been a fundamental challenge in systemic risk analysis. The conceptual principle and methodological techniques behind the mechanisms involved [in such dynamics] have been harder to grasp than…
This work proposes an augmented variant of DebtRank with uncertainty intervals as a method to investigate and assess systemic risk in financial networks, in a context of incomplete data. The algorithm is tested against a default contagion…
Surety bonds are financial agreements between a contractor (principal) and obligee (project owner) to complete a project. However, most large-scale projects involve multiple contractors, creating a network and introducing the possibility of…
In this paper we estimate the propagation of liquidity shocks through interbank markets when the information about the underlying credit network is incomplete. We show that techniques such as Maximum Entropy currently used to reconstruct…
Assessing systemic risk in financial markets is of great importance but it often requires data that are unavailable or available at a very low frequency. For this reason, systemic risk assessment with partial information is potentially very…