NDLI: A data rich money market model - agent-based modelling for financial stability

Content Provider	IEEE Xplore Digital Library
Author	Devine, Paul Savani, Rahul
Copyright Year	2014
Description	Author affiliation: Dept. of Computer Science, University of Liverpool, L69 3BX, UK (Devine, Paul; Savani, Rahul)
Abstract	Our position is that agent-based modelling is a potentially powerful complementary tool in the study of financial systems, especially where institutional behavioural factors and empirical data are incorporated. The work reported here concerns an agent-based model of a banking system focused on liquidity provision, principally the flows of cash between banks and other system actors. This model has been developed in conjunction with senior staff drawn from a major UK bank and consultancy and is highly data-rich in comparison with previous theoretical work in the field. Agents and relationships reflect practitioners' views of the system and it incorporates institutional balance sheet representations, financial instruments together with real-world data collated from a range of sources. The bank agents in the model possess heterogeneous behaviours and data content drawn from real bank data. We report preliminary studies of the dynamical behaviour of this system in the context of the types of systemic shocks and perturbations observed in the real world. We review results which model the impact on a bank of a perceived lowering of its creditworthiness. These dynamics are not the result of endogenous assessments of the bank's position, but the interplay of other banks' and actor's responses with its own behaviour.
Starting Page	231
Ending Page	236
File Size	274997
Page Count	6
File Format	PDF
ISBN	9789897580604
DOI	10.5220/0005096602310236
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2014-08-28
Publisher Place	Austria
Access Restriction	Subscribed
Rights Holder	SCITEPRESS
Subject Keyword	Liquids Contagion Instruments Computational modeling Banking Risk Agent-based Model Stress Financial Stability Liquidity Data models Regulation Money Markets Contracts
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

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