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Contagion and Bank Runs in a Multi-Agent Financial System

  • Davide Provenzano
Chapter
Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 662)

Abstract

In this paper we explore contagion from one institution to another that can stem from the existence of a network of financial contracts. Informational contagion, as a second possible form of systemic risk, has been also considered. The intricate web of claims and obligations linking the balance sheets of financial institutions and consumers’ behavior have been modeled in a structure that reflects the complexities of observed financial networks and the diffusion of crisis expectations. The agent based model we propose provides a suitable microeconomic framework for analyzing the relation between the structure of a financial network, i.e. the size and the pattern of obligations, and its exposure to systemic risk.

Keywords

Central Bank Banking System Balance Sheet Systemic Risk Deposit Insurance 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  1. 1.Dipartimento di Scienze Statistiche e Matematiche Silvio VianelliUniversity of PalermoPalermoItaly

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