Contagion and Bank Runs in a Multi-Agent Financial System

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Abstract

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
Pagine27-38
Numero di pagine12
Stato di pubblicazionePublished - 2012

Serie di pubblicazioni

NomeLECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS

All Science Journal Classification (ASJC) codes

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

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  • Cita questo

    Provenzano, D. (2012). Contagion and Bank Runs in a Multi-Agent Financial System. In Managing Market Complexity. The Approach of Artificial Economics (pagg. 27-38). (LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS).