In this paper we explore contagion from one institution to another that can stem from the existence of a network of financial contracts. Informational con- tagion, as a second possible form of systemic risk, has been also considered. The intricate web of claims and obligations linking the balance sheets of financial institutions and consumers’ behavior have been modeled in a structure that reflects the complexities of observed financial networks and the diffusion of crisis expectations. The agent based model we propose provides a suitable microeconomic framework for analyzing the relation between the structure of a financial network, i.e. the size and the pattern of obligations, and its exposure to systemic risk.

Provenzano, D. (2012). Contagion and Bank Runs in a Multi-Agent Financial System. In A. Teglio, S. Alfarano, E. Camacho-Cuena, M. Ginés-Vilar (a cura di), Managing Market Complexity. The Approach of Artificial Economics (pp. 27-38). Castellon de la Plana : Springer-Verlag Berlin Heidelberg 2012 [10.1007/978-3-642-3130-1].

Contagion and Bank Runs in a Multi-Agent Financial System

PROVENZANO, Davide
2012-01-01

Abstract

In this paper we explore contagion from one institution to another that can stem from the existence of a network of financial contracts. Informational con- tagion, as a second possible form of systemic risk, has been also considered. The intricate web of claims and obligations linking the balance sheets of financial institutions and consumers’ behavior have been modeled in a structure that reflects the complexities of observed financial networks and the diffusion of crisis expectations. The agent based model we propose provides a suitable microeconomic framework for analyzing the relation between the structure of a financial network, i.e. the size and the pattern of obligations, and its exposure to systemic risk.
2012
Settore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.
Provenzano, D. (2012). Contagion and Bank Runs in a Multi-Agent Financial System. In A. Teglio, S. Alfarano, E. Camacho-Cuena, M. Ginés-Vilar (a cura di), Managing Market Complexity. The Approach of Artificial Economics (pp. 27-38). Castellon de la Plana : Springer-Verlag Berlin Heidelberg 2012 [10.1007/978-3-642-3130-1].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10447/65156
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