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...

Purpose: This paper aims to explore drivers of the effectiveness of risk assessments in risk workshops. Design/methodology/approach: This study uses an agent-based model to simulate risk assessments in risk workshops. Combining the notions of transactive memory and the ideal speech situation,...

Purpose: This paper aims to explore drivers of the effectiveness of risk assessments in risk workshops.Design/methodology/approach: This study uses an agent-based model to simulate risk assessments in risk workshops. Combining the notions of transactive memory and the ideal speech situation,...

This article presents an equilibrium-based multi-agent optimal consumption and portfolio problem incorporating sentiments, where multiple agents have heterogeneous (optimistic, pessimistic, neutral) views on fundamental risks represented by Brownian motions.Each agent maximizes its expected...