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Credit risk: an agent-based model of post-credit decision actions and credit losses in banks

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  • S Jonsson

Abstract

The credit crisis in 2007/2008 has increased the focus on bank credit risk. This paper uses an agent-based model (ABM) to investigate the impact of bankers’ post-credit decision actions on bank credit losses that are induced by lending to corporate clients. The banker agents are modelled according to results obtained from a survey that was distributed to bankers who are permitted to grant credit to firms. The results show that post-credit decision actions have substantial effects on bank credit losses, thus implying that regulators should consider organizational factors as a complement to bank assets when assigning capital requirements to banks. The study also aims to point to a new area of application of ABMs for both researchers and practitioners. Whereas previous research has used ABMs to simulate financial markets, this study suggests that financial organizations could be a vital area of application.

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  • S Jonsson, 2012. "Credit risk: an agent-based model of post-credit decision actions and credit losses in banks," Journal of Simulation, Taylor & Francis Journals, vol. 6(4), pages 253-266, November.
    • Handle: RePEc:taf:tjsmxx:v:6:y:2012:i:4:p:253-266
    DOI: 10.1057/jos.2012.7
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