ABBA: An Agent-Based Model of the Banking System /
A thorough analysis of risks in the banking system requires incorporating banks' inherent heterogeneity and adaptive behavior in response to shocks and changes in business conditions and the regulatory environment. ABBA is an agent-based model for analyzing risks in the banking system in which...
| Main Author: | |
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| Format: | Book |
| Language: | English |
| Published: |
Washington, D.C. :
International Monetary Fund,
2017
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| Series: | IMF Working Papers; Working Paper ;
No. 2017/136 IMF eLibrary |
| Subjects: |
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| 100 | 1 | |a Chan-Lau, Jorge | |
| 245 | 1 | 0 | |a ABBA: An Agent-Based Model of the Banking System / |c Jorge Chan-Lau |
| 246 | |a ABBA | ||
| 264 | 1 | |a Washington, D.C. : |b International Monetary Fund, |c 2017 | |
| 300 | |a 1 online resource (33 pages) | ||
| 300 | |a 1 online resource (34 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF Working Papers | |
| 500 | |a Part of the IMF eLibrary collection | ||
| 505 | 0 | |a Cover -- Contents -- I. Introduction -- II. Related Literature -- III. ABBA: Conceptual Foundations -- IV. Banks' Behavioral Decisions and Interactions with Other Agents -- V. A Simulation Exercise: Capital and Liquidity Requirements, Interconnectedness, and Bank Failures -- VI. Conclusions -- References -- Figures -- 1.Savers' behavioral decisions -- 2. Loans payoffs -- 3. Bank's actions and interactions with other agents -- 4. Average reserve ratio for different regulatory requirements -- 5. Mean capital ratio for different regulatory requirements -- 6. Mean return on equity under different regulatory requirements, in percent -- 7. NetLogo implementation of ABBA showing interbank loans -- 8. In-degree and Out-degree dynamics for a representative bank -- 9. Percent of times out-degree of a bank exceeds one -- Tables -- 1. Credit and liquidity failures for different regulatory requirements, in percent -- 2. Banks' in-degree for different regulatory requirements, in percent -- 3. Banks' out-degree for different regulatory requirements, in percent | |
| 506 | |a Restricted for use by site license. | ||
| 520 | 3 | |a A thorough analysis of risks in the banking system requires incorporating banks' inherent heterogeneity and adaptive behavior in response to shocks and changes in business conditions and the regulatory environment. ABBA is an agent-based model for analyzing risks in the banking system in which banks' business decisions drive the endogenous formation of interbank networks. ABBA allows for a rich menu of banks' decisions, contingent on banks' balance sheet and capital position, including dividend payment rules, credit expansion, and dynamic balance sheet adjustment via risk-weight optimization. The platform serves to illustrate the effect of changes on regulatory requirements on solvency, liquidity, and interconnectedness risk. It could also constitute a basic building block for further development of large, bottom-up agent-based macro-financial models | |
| 520 | 3 | |a A thorough analysis of risks in the banking system requires incorporating banks’ inherent heterogeneity and adaptive behavior in response to shocks and changes in business conditions and the regulatory environment. ABBA is an agent-based model for analyzing risks in the banking system in which banks’ business decisions drive the endogenous formation of interbank networks. ABBA allows for a rich menu of banks’ decisions, contingent on banks’ balance sheet and capital position, including dividend payment rules, credit expansion, and dynamic balance sheet adjustment via risk-weight optimization. The platform serves to illustrate the effect of changes on regulatory requirements on solvency, liquidity, and interconnectedness risk. It could also constitute a basic building block for further development of large, bottom-up agent-based macro-financial models | |
| 588 | |a Description based on print version record | ||
| 588 | |a Description based on publisher supplied metadata and other sources | ||
| 650 | 7 | |a Asset and liability management |2 imf | |
| 650 | 7 | |a Asset requirements |2 imf | |
| 650 | 7 | |a Banking |2 imf | |
| 650 | 7 | |a Banks and Banking |2 imf | |
| 650 | 7 | |a Banks and banking |2 imf | |
| 650 | 7 | |a Banks |2 imf | |
| 650 | 7 | |a Capital adequacy requirements |2 imf | |
| 650 | 7 | |a Capital and Ownership Structure |2 imf | |
| 650 | 7 | |a Commercial banks |2 imf | |
| 650 | 7 | |a Depository Institutions |2 imf | |
| 650 | 7 | |a Economics |2 imf | |
| 650 | 7 | |a Finance |2 imf | |
| 650 | 7 | |a Finance: General |2 imf | |
| 650 | 7 | |a Financial Institutions and Services: Government Policy and Regulation |2 imf | |
| 650 | 7 | |a Financial Risk and Risk Management |2 imf | |
| 650 | 7 | |a Financial institutions |2 imf | |
| 650 | 7 | |a Financial regulation and supervision |2 imf | |
| 650 | 7 | |a Financial services law & regulation |2 imf | |
| 650 | 7 | |a Financing Policy |2 imf | |
| 650 | 7 | |a Goodwill |2 imf | |
| 650 | 7 | |a Industries: Financial Services |2 imf | |
| 650 | 7 | |a Investment Decisions |2 imf | |
| 650 | 7 | |a Liquidity |2 imf | |
| 650 | 7 | |a Loans |2 imf | |
| 650 | 7 | |a Micro Finance Institutions |2 imf | |
| 650 | 7 | |a Monetary Policy |2 imf | |
| 650 | 7 | |a Monetary economics |2 imf | |
| 650 | 7 | |a Monetary policy |2 imf | |
| 650 | 7 | |a Money and Monetary Policy |2 imf | |
| 650 | 7 | |a Mortgages |2 imf | |
| 650 | 7 | |a Portfolio Choice |2 imf | |
| 650 | 7 | |a Reserve requirements |2 imf | |
| 650 | 7 | |a Value of Firms |2 imf | |
| 651 | 7 | |a United States |2 imf | |
| 776 | |z 1-4843-0068-8 | ||
| 776 | 0 | 8 | |i Print Version: |a Chan-Lau, Jorge |t ABBA: An Agent-Based Model of the Banking System |d Washington, D.C. : International Monetary Fund, 2017. |z 9781484304006 |
| 830 | 0 | |a IMF Working Papers; Working Paper ; |v No. 2017/136 | |
| 830 | 0 | |a IMF eLibrary | |
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