{"title":"基于主体模型和功能依赖网络分析(FDNA)的银行间传染研究","authors":"Amy Costa, Michael K. McShane, C. Pinto","doi":"10.2139/ssrn.2608937","DOIUrl":null,"url":null,"abstract":"Functional Dependency Network Analysis (FDNA) is a tool developed by engineer management researchers for developing systems that are more resilient and less prone to catastrophic failure. Considering financial networks as a system-of-systems, we introduce FDNA for analyzing non-engineering systems. This paper applies FDNA to the financial system to investigate not only what causes contagion but also how it spreads through a financial network, specifically to understand how the failure of one bank affects others in the system. A simple agent-based model of interbank lending will be presented and FDNA will be applied to it. A main goal of the paper is to promote application of a new tool from systems engineering to financial networks.","PeriodicalId":11044,"journal":{"name":"delete","volume":"1 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2015-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":"{\"title\":\"Investigating Interbank Contagion with Agent-Based Modeling and Functional Dependency Network Analysis (FDNA)\",\"authors\":\"Amy Costa, Michael K. McShane, C. Pinto\",\"doi\":\"10.2139/ssrn.2608937\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Functional Dependency Network Analysis (FDNA) is a tool developed by engineer management researchers for developing systems that are more resilient and less prone to catastrophic failure. Considering financial networks as a system-of-systems, we introduce FDNA for analyzing non-engineering systems. This paper applies FDNA to the financial system to investigate not only what causes contagion but also how it spreads through a financial network, specifically to understand how the failure of one bank affects others in the system. A simple agent-based model of interbank lending will be presented and FDNA will be applied to it. A main goal of the paper is to promote application of a new tool from systems engineering to financial networks.\",\"PeriodicalId\":11044,\"journal\":{\"name\":\"delete\",\"volume\":\"1 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2015-05-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"4\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"delete\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2608937\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"delete","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2608937","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Investigating Interbank Contagion with Agent-Based Modeling and Functional Dependency Network Analysis (FDNA)
Functional Dependency Network Analysis (FDNA) is a tool developed by engineer management researchers for developing systems that are more resilient and less prone to catastrophic failure. Considering financial networks as a system-of-systems, we introduce FDNA for analyzing non-engineering systems. This paper applies FDNA to the financial system to investigate not only what causes contagion but also how it spreads through a financial network, specifically to understand how the failure of one bank affects others in the system. A simple agent-based model of interbank lending will be presented and FDNA will be applied to it. A main goal of the paper is to promote application of a new tool from systems engineering to financial networks.