Agent-based model of system-wide implications of funding risk

Arbeitspapier

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent interactions between market participants in an agent-based modelling fashion. The model is confronted with data from the 2014 EU stress test covering all the major banking groups in the EU. The potential amplification role of asset managers is taken into account in a stylised fashion. In particular, we investigate the importance of the channels through which the funding shock to financial institutions can spread across the financial system.

Object Details

• ISBN: 978-92-899-3226-4
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 2121

Classification and Topics

• Classification: Wirtschaft ; Portfolio Choice; Investment Decisions ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Optimization Techniques; Programming Models; Dynamic Analysis
• Subject: liquidity ; systemic risk ; ABM

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hałaj, Grzegorz
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2018

Further information

• DOI: doi:10.2866/182473
• Handle: http://hdl.handle.net/10419/179336
• Last update: 10.03.2025, 11:45 AM CET