Aymanns, Christoph; Farmer, J. Doyne - In: Journal of Economic Dynamics and Control 50 (2015) C, pp. 155-179
We present a simple agent-based model of a financial system composed of leveraged investors such as banks that invest in stocks and manage their risk using a Value-at-Risk constraint, based on historical observations of asset prices. The Value-at-Risk constraint implies that when perceived risk...