Observatorio de I+D+i UPM

Memorias de investigación
Artículos en revistas:
A Minimal Agent-Based Model Reproduces the Overall Topology of Interbank Networks
Año:2018
Áreas de investigación
  • Aplicaciones a las ciencias del comportamiento, sociales y económicas,
  • Fisica cs -- sistemas complejos
Datos
Descripción
The description of the empirical structure of interbank networks constitutes an important field of study since network theory can be used as a powerful tool to assess the resilience of financial systems and their robustness against failures. On the other hand, the development of reliable models of interbank market structure is relevant as they can be used to analyze systemic risk in the absence of transaction data or to test statistical hypotheses regarding network properties. Based on a detailed data-driven analysis of bank positions (assets and liabilities) taken from the Bankscope database, we here develop a minimal, stochastic, agent-based network model that accounts for the basic topology of interbank networks reported in the literature. The main assumption of our model is that loans between banks attempt to compensate assets and liabilities at each time step, and the model renders networks comparable with those observed in empirical studies. In particular, our model is able to qualitatively reproduce degree distributions, the distribution of the number of transactions, the distribution of exposures, the correlations with nearest-neighbor out-degree, and the clustering coefficient. As our simple model captures the overall structure of empirical networks, it can thus be used as a null model for testing hypotheses relative to other specific properties of interbank networks.
Internacional
Si
JCR del ISI
Si
Título de la revista
Jasss-the Journal of Artificial Societies And Social Simulation
ISSN
1460-7425
Factor de impacto JCR
1,64
Información de impacto
Volumen
21
DOI
Número de revista
Desde la página
2
Hasta la página
20
Mes
SIN MES
Ranking
Esta actividad pertenece a memorias de investigación
Participantes
  • Autor: Sara Cuenda (Universidad Autónoma de Madrid)
  • Autor: Maximiliano Fernandez
  • Autor: Javier Ricardo Galeano Prieto (UPM)
  • Autor: Jose Angel Capitan Gomez (UPM)
Grupos de investigación, Departamentos, Centros e Institutos de I+D+i relacionados
  • Creador: Departamento: Ingeniería Agroforestal
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