基于主体模型和功能依赖网络分析(FDNA)的银行间传染研究

delete Pub Date : 2015-05-21 DOI:10.2139/ssrn.2608937
Amy Costa, Michael K. McShane, C. Pinto
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引用次数: 4

摘要

功能依赖网络分析(FDNA)是由工程管理研究人员开发的一种工具,用于开发更具弹性且不易发生灾难性故障的系统。将金融网络视为系统的系统,我们引入FDNA来分析非工程系统。本文将FDNA应用于金融体系,不仅研究导致传染的原因,还研究它如何通过金融网络传播,特别是了解一家银行的倒闭如何影响系统中的其他银行。本文将介绍一个简单的基于代理的银行间贷款模型,并将FDNA应用于该模型。本文的主要目标是促进系统工程新工具在金融网络中的应用。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.
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