IDEAS home Printed from https://ideas.repec.org/h/spr/lnechp/978-3-642-31301-1_3.html
   My bibliography  Save this book chapter

Contagion and Bank Runs in a Multi-Agent Financial System

In: Managing Market Complexity

Author

Listed:
  • Davide Provenzano

    (University of Palermo)

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.

Suggested Citation

  • Davide Provenzano, 2012. "Contagion and Bank Runs in a Multi-Agent Financial System," Lecture Notes in Economics and Mathematical Systems, in: Andrea Teglio & Simone Alfarano & Eva Camacho-Cuena & Miguel Ginés-Vilar (ed.), Managing Market Complexity, edition 127, chapter 0, pages 27-38, Springer.
    • Handle: RePEc:spr:lnechp:978-3-642-31301-1_3
    DOI: 10.1007/978-3-642-31301-1_3
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chen, Tingqiang & Wang, Yutong & Zeng, Qianru & Luo, Jun, 2020. "Network model of credit risk contagion in the interbank market by considering bank runs and the fire sale of external assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:lnechp:978-3-642-31301-1_3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.