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http://hdl.handle.net/11375/12394
Title: | AN AGENT–BASED COMPUTATIONAL MODEL FOR BANK FORMATION AND INTERBANK NETWORKS |
Authors: | Ismail, Omneia R.H. |
Advisor: | Grasselli, Matheus R. |
Department: | Computational Engineering and Science |
Keywords: | Agent Based Model;bank formation;interbank networks;social measures;systemic risk;contagion;Evolution;Finance;Laboratory and Basic Science Research;Other Economics;Evolution |
Publication Date: | Oct-2012 |
Abstract: | <p>The aim of this thesis is to study the role of banking in society and the effect of the</p> <p>interbank market on the performance of the banking system.</p> <p>It starts by reviewing</p> <p>several studies conducted on empirical banking networks and highlighting their salient</p> <p>features in the context of modern network theory. A simulated network resembling the</p> <p>characteristics documented in the empirical studies is then built and its resilience is</p> <p>analyzed with a particular emphasis in documenting the crucial role played by highly</p> <p>interconnected banks.</p> <p>It is our belief that the study of systemic risk and contagion in a banking system</p> <p>is an integral part to the study of the economic role of banks themselves. Thus the</p> <p>current work focuses on the fundamentals of banking and aims at identifying the</p> <p>necessary drivers for a dynamical setup of the interbank market.</p> <p>Through an agent–based model, we address the issues of bank formation, bank runs</p> <p>and the emergence of an interbank market. Starting with heterogeneous individuals,</p> <p>bank formation is viewed as an emergent phenomenon arising to meet the needs for</p> <p>investment opportunities in face of uncertain liquidity preferences. When banks work</p> <p>in isolation (no interbank market), in the long run and through a long experience with</p> <p>bank failures, banking turns into a monopoly or a market with few players.</p> <p>By equipping banks with their own learning tools and allowing an interbank market</p> <p>to develop, fewer bank failures and a less concentrated banking system are witnessed.</p> <p>In addition, through a scenario analysis, it is demonstrated that allowing banks to</p> <p>interact does not weaken the banking system in almost all the cases, and improves</p> <p>the performance on multiple occasions.</p> <p>The work is concluded by studying the effects of a banking system on individuals</p> <p>and the economy in what is called social measures. We establish that the effects</p> <p>of banking on social measures such as consumption level, consumption inequality</p> <p>between individuals, long term investment and economic waste, varies significantly</p> <p>based on the structure of the society.</p> |
URI: | http://hdl.handle.net/11375/12394 |
Identifier: | opendissertations/7286 8324 3254392 |
Appears in Collections: | Open Access Dissertations and Theses |
Files in This Item:
File | Size | Format | |
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fulltext.pdf | 2.52 MB | Adobe PDF | View/Open |
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