Agent-based model of system-wide implications of funding risk
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- Farmer, J. Doyne & Kleinnijenhuis, Alissa & Nahai-Williamson, Paul & Wetzer, Thom, 2020. "Foundations of system-wide financial stress testing with heterogeneous institutions," INET Oxford Working Papers 2020-14, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- David Aikman & Daniel Beale & Adam Brinley-Codd & Giovanni Covi & Anne‑Caroline Hüser & Caterina Lepore, 2023. "Macroprudential stress‑test models: a survey," Bank of England working papers 1037, Bank of England.
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- David Aikman & Daniel Beale & Adam Brinley-Codd & Anne-Caroline Hüser & Giovanni Covi & Caterina Lepore, 2023. "Macro-Prudential Stress Test Models: A Survey," IMF Working Papers 2023/173, International Monetary Fund.
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More about this item
Keywords
ABM; liquidity; systemic risk;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2018-04-09 (Computational Economics)
- NEP-RMG-2018-04-09 (Risk Management)
Statistics
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