Modeling and Analysis of Contagion Dynamics and Bank Risk Management using System Dynamics

摘要

Over the last nine years or so, different parts of the world have suffered from a host of seemingly unending financial and economic trials and tribulations, and political upheaval, the after-effects of the global financial crisis (the "Long" or "Great Recession") that officially started in September 2008 and lasted less than a couple of years. Using system dynamics and discrete event simulation approaches, we seek to model and analyze how the interconnectedness (on the assets and liabilities sides of their balance sheets) between banks in a financial network, and between financial networks in turn, can result in a failure of a single bank triggering other defaults and spreading as a contagion through the global financial networks, generating cascades of defaults.