Showing 1 - 10 of 10
Persistent link: https://www.econbiz.de/10010467817
Persistent link: https://www.econbiz.de/10011474265
We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is possible to compute an equilibrium, this approach...
Persistent link: https://www.econbiz.de/10011906282
Persistent link: https://www.econbiz.de/10012534314
Persistent link: https://www.econbiz.de/10011871938
Persistent link: https://www.econbiz.de/10014248196
We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the effect of heterogeneous degree distributions,...
Persistent link: https://www.econbiz.de/10013120776
Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis. We develop a network approach to the amplification of financial contagion due to the combination of overlapping portfolios and leverage, and we show how it can be understood in...
Persistent link: https://www.econbiz.de/10013097955
Currently financial stress test simulations that take into account multiple interacting contagion mechanisms are conditional on a specific, subjectively imposed stress-scenario. Eigenvalue-based approaches, in contrast, provide a scenario-independent measure of systemic stability, but only...
Persistent link: https://www.econbiz.de/10012848838
We review heterogeneous agent models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is possible to compute an equilibrium, this approach...
Persistent link: https://www.econbiz.de/10014024350