Banking System ABM Model
How do interbank lending networks, heterogeneous bank balance sheets, and capital adequacy constraints generate systemic risk, contagion cascades, and too-big-to-fail dynamics that aggregate risk metrics miss entirely?
Agent-based models · Sources
Banking System ABM sources, papers, and evidence trail
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References
Primary and official sources
First-party releases, central-bank materials, official statistical agencies, and institutional documents.
[S1] International Monetary Fund
Chan-Lau (2017) -- IMF ABBA agent-based model of the banking system
Primary - International Monetary Fund
Reference sources
Reference material used for orientation; read primary and academic sources first when claims conflict.
[S2] Reference
Iori et al. (2006) -- first ABM of interbank market showing emergent liquidity dynamics from network structure
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[S3] Reference
Gai and Kapadia (2010) -- contagion in random financial networks, robust-yet-fragile property
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[S4] Reference
Battiston et al. (2012) -- DebtRank: network centrality measure for systemic risk, formalizing too-interconnected-to-fail
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[S5] Reference
Georg (2013) -- interbank ABM with central bank as lender of last resort, endogenous network formation
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[S6] Reference
Klimek et al. (2015) -- systemic risk ABM calibrated to Austrian banking data with multi-layer exposures
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[S7] Reference
Poledna et al. (2017) -- multi-layer network ABM showing amplification across interbank, derivatives, securities, and payments layers
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[S8] Reference
Bookstaber, Paddrik, and Tivnan (2018) -- OFR financial-vulnerability ABM with funding and fire-sale amplification
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