Investigating Interbank Contagion with Agent-Based Modeling and Functional Dependency Network Analysis (FDNA)

delete Pub Date : 2015-05-21 DOI:10.2139/ssrn.2608937
Amy Costa, Michael K. McShane, C. Pinto
{"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.
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
基于主体模型和功能依赖网络分析(FDNA)的银行间传染研究
功能依赖网络分析(FDNA)是由工程管理研究人员开发的一种工具,用于开发更具弹性且不易发生灾难性故障的系统。将金融网络视为系统的系统,我们引入FDNA来分析非工程系统。本文将FDNA应用于金融体系,不仅研究导致传染的原因,还研究它如何通过金融网络传播,特别是了解一家银行的倒闭如何影响系统中的其他银行。本文将介绍一个简单的基于代理的银行间贷款模型,并将FDNA应用于该模型。本文的主要目标是促进系统工程新工具在金融网络中的应用。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
来源期刊
自引率
0.00%
发文量
0
期刊最新文献
The Balanced Votes Method: A new perspective on symmetry in creating fair redistricting plans and measuring gerrymandering An in Vitro Study to Evaluate and Compare the Remineralizing Potential among Casein Phosphopeptide-Amorphous Calcium Phosphate (CPP-ACP) with Fluoride and Surface Pre-Reacted Glass (S-PRG) Fillers Using Quantitative Analysis. Sport Sponsorship Announcement and Stock Returns: A Meta-Analytic Review How Shifting from In-Person to Virtual-Only Shareholder Meetings Affects Shareholders’ Voice Did Everything Change After 911? Not Everything!
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1