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arXiv · 1703.07513

An Agent-based Model of Contagion in Financial Networks

Leonardo dos Santos Pinheiro·Flavio Codeco COelho
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Abstract

This work develops an agent-based model for the study of how the leverage through the use of repurchase agreements can function as a mechanism for the propagation and amplification of financial shocks in a financial system. Based on the analysis of financial intermediaries in the repo and interbank lending markets during the 2007-08 financial crisis we develop a model that can be used to simulate the dynamics of financial contagion.

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Leonardo dos Santos Pinheiro, Flavio Codeco COelho. 2017-03-22. An Agent-based Model of Contagion in Financial Networks. https://arxiv.org/abs/1703.07513

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