Contagion and Bank Runs in a Multi-Agent Financial System

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In this paper we explore contagion from one institution to another thatcan 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. Theintricate web of claims and obligations linking the balance sheets of financial institutions and consumers’ behavior have been modeled in a structure that reflects thecomplexities of observed financial networks and the diffusion of crisis expectations.The agent based model we propose provides a suitable microeconomic frameworkfor 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.
Lingua originaleEnglish
Titolo della pubblicazione ospiteManaging Market Complexity. The Approach of Artificial Economics
Numero di pagine12
Stato di pubblicazionePublished - 2012

Serie di pubblicazioni


All Science Journal Classification (ASJC) codes

  • Mathematics (miscellaneous)
  • Economics, Econometrics and Finance (miscellaneous)

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