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.
|Titolo della pubblicazione ospite||Managing Market Complexity. The Approach of Artificial Economics|
|Numero di pagine||12|
|Stato di pubblicazione||Published - 2012|
Serie di pubblicazioni
|Nome||LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS|
All Science Journal Classification (ASJC) codes
- Mathematics (miscellaneous)
- Economics, Econometrics and Finance (miscellaneous)
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).