In this paper we introduce a calibration procedure suitable for the validation of agent based models. Starting from the well-known financial model of Brock and Hommes 1998, we show how an appro- priate calibration technique makes the model able to describe price time series.The calibration...

This work aims to quantify climate and geopolitical tail risks for a representative sample of Eurozone publicly traded banks. By expanding on the method proposed by Acharya et al. (2012) to measure systemic risk (SRISK), we introduce two market-based metrics, climatic risk (CRISK-X) and...