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Only Paul Could Go To Changchun

An Agent-based Model of Contagion in Financial Networks

4/21/2017

 
Here.

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.


From:

Leonardo Dos Santos Pinheiro
Flavio Codeco Coelho
Getulio Vargas Foundation

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