Contagion and Bank Runs in a Multi-Agent Financial System

Risultato della ricerca: Chapter

1 Citazione (Scopus)

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.
Lingua originaleEnglish
Titolo della pubblicazione ospiteManaging Market Complexity. The Approach of Artificial Economics
Pagine27-38
Numero di pagine12
Volume2012-09
Stato di pubblicazionePublished - 2012

Serie di pubblicazioni

NomeLECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS

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Bank runs
Systemic risk
Obligation
Financial networks
Contagion
Financial system
Consumer behaviour
Balance sheet
World Wide Web
Financial contracts
Microeconomics
Agent-based model
Financial institutions

All Science Journal Classification (ASJC) codes

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

Cita questo

Provenzano, D. (2012). Contagion and Bank Runs in a Multi-Agent Financial System. In Managing Market Complexity. The Approach of Artificial Economics (Vol. 2012-09, pagg. 27-38). (LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS).

Contagion and Bank Runs in a Multi-Agent Financial System. / Provenzano, Davide.

Managing Market Complexity. The Approach of Artificial Economics. Vol. 2012-09 2012. pag. 27-38 (LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS).

Risultato della ricerca: Chapter

Provenzano, D 2012, Contagion and Bank Runs in a Multi-Agent Financial System. in Managing Market Complexity. The Approach of Artificial Economics. vol. 2012-09, LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS, pagg. 27-38.
Provenzano D. Contagion and Bank Runs in a Multi-Agent Financial System. In Managing Market Complexity. The Approach of Artificial Economics. Vol. 2012-09. 2012. pag. 27-38. (LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS).
Provenzano, Davide. / Contagion and Bank Runs in a Multi-Agent Financial System. Managing Market Complexity. The Approach of Artificial Economics. Vol. 2012-09 2012. pagg. 27-38 (LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS).
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