Related papers: Risk Dynamics in Trade Networks

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Multi-agent models are a suitable starting point to model complex social interactions. However, as the complexity of the systems increase, we argue that novel modeling approaches are needed that can deal with inter-dependencies at different…

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Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…

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We propose a simple market model where agents trade different types of products with each other by using money, relying only on local information. Value fluctuations of single products, combined with the condition of maximum profit in…

We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we prove that the equilibrium returns mean-revert around their…