We present a Simudyne implementation of the following publication: Chain Bankruptcy Size in Inter-bank Networks: the Effects of Asset Price Volatility and the Network Structure
\n\n\tDownload Model Files\n\nThe code for this Model is available as a zip download, containing a complete model as a Maven project. This project should be able to be run from any Maven or Java IDE environment.
\nThe model builds on the inter-bank contagion literature. It explores the impact of increasing the volatility of financial assets and also the structure of the inter-bank network on the contagion properties of the banking system as a whole.
\nOne bankruptcy of a certain bank can make another bank go bankrupt. This phenomenon is called chain bankruptcy. Chain bankruptcy is a kind of “systemic risk,” a topic that has received a great deal of attention from researchers, recently. Here, we analyzed the effect of the asset price fluctuation and the inter-bank lending and borrowing network on chain bankruptcy by using an agent-based simulation. We found that: (1) as the rate of change in asset price grows, the total number of bankruptcies increases. On the other hand, when the rate of change in asset prices exceeds a certain value, the total number of bankruptcies became unvarying; (2) as the density of links increases, the total number of bankruptcies decreases, except when a certain situation occurs in core–periphery networks. These results suggest that factors causing bankruptcy are asset price fluctuations and the network structure of the inter-bank network.
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