{"title":"Investigating Interbank Contagion with Agent-Based Modeling and Functional Dependency Network Analysis (FDNA)","authors":"Amy Costa, Michael K. McShane, C. Pinto","doi":"10.2139/ssrn.2608937","DOIUrl":null,"url":null,"abstract":"Functional Dependency Network Analysis (FDNA) is a tool developed by engineer management researchers for developing systems that are more resilient and less prone to catastrophic failure. Considering financial networks as a system-of-systems, we introduce FDNA for analyzing non-engineering systems. This paper applies FDNA to the financial system to investigate not only what causes contagion but also how it spreads through a financial network, specifically to understand how the failure of one bank affects others in the system. A simple agent-based model of interbank lending will be presented and FDNA will be applied to it. A main goal of the paper is to promote application of a new tool from systems engineering to financial networks.","PeriodicalId":11044,"journal":{"name":"delete","volume":"1 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2015-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"delete","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2608937","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 4
Abstract
Functional Dependency Network Analysis (FDNA) is a tool developed by engineer management researchers for developing systems that are more resilient and less prone to catastrophic failure. Considering financial networks as a system-of-systems, we introduce FDNA for analyzing non-engineering systems. This paper applies FDNA to the financial system to investigate not only what causes contagion but also how it spreads through a financial network, specifically to understand how the failure of one bank affects others in the system. A simple agent-based model of interbank lending will be presented and FDNA will be applied to it. A main goal of the paper is to promote application of a new tool from systems engineering to financial networks.