Agent-based simulation analysis on investment behaviors of financial firms related to bankruptcy propagations and financial regulations

Takamasa Kikuchi, Masaaki Kunigami, Takashi Yamada, Hiroshi Takahashi, Takao Terano

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

Since systemic risk in recent financial crisis has received attention, a wide variety of studies on how financial regulations should be reformed to control such risk have been progressed. Among these, mathematical and computational studies have analyzed the way how the borrowing and lending banks and the borrowers go bankrupt in the chain via interbanking network. This study deals with a chain of bankruptcies of financial institutions endogenously caused by deterioration of their financial situations from the changes in prices of risky assets by focusing on the macro-level collapse caused by the shock stemming from the general market risk factors addressed in theoretical studies after the crisis in 2008. For this purpose, the authors develop an agent-based simulation platform and then examine how current systemic management regulations affect corresponding bankruptcies. The main findings are as follows: First, pertinent management regulations are dependent on the market environment. Second, some combination of management regulations may increase the possibilities of bankruptcies due to more sensitivity toward the market change.

Original languageEnglish
JournalTransactions of the Japanese Society for Artificial Intelligence
Volume31
Issue number6
DOIs
Publication statusPublished - 2016

Fingerprint

Macros
Deterioration

Keywords

  • Agent-based simulation
  • Asset liability management
  • Financial regulations
  • Systemic risk

ASJC Scopus subject areas

  • Software
  • Artificial Intelligence

Cite this

Agent-based simulation analysis on investment behaviors of financial firms related to bankruptcy propagations and financial regulations. / Kikuchi, Takamasa; Kunigami, Masaaki; Yamada, Takashi; Takahashi, Hiroshi; Terano, Takao.

In: Transactions of the Japanese Society for Artificial Intelligence, Vol. 31, No. 6, 2016.

Research output: Contribution to journalArticle

@article{14bda16bd3d24641a6700b21ae2f8169,
title = "Agent-based simulation analysis on investment behaviors of financial firms related to bankruptcy propagations and financial regulations",
abstract = "Since systemic risk in recent financial crisis has received attention, a wide variety of studies on how financial regulations should be reformed to control such risk have been progressed. Among these, mathematical and computational studies have analyzed the way how the borrowing and lending banks and the borrowers go bankrupt in the chain via interbanking network. This study deals with a chain of bankruptcies of financial institutions endogenously caused by deterioration of their financial situations from the changes in prices of risky assets by focusing on the macro-level collapse caused by the shock stemming from the general market risk factors addressed in theoretical studies after the crisis in 2008. For this purpose, the authors develop an agent-based simulation platform and then examine how current systemic management regulations affect corresponding bankruptcies. The main findings are as follows: First, pertinent management regulations are dependent on the market environment. Second, some combination of management regulations may increase the possibilities of bankruptcies due to more sensitivity toward the market change.",
keywords = "Agent-based simulation, Asset liability management, Financial regulations, Systemic risk",
author = "Takamasa Kikuchi and Masaaki Kunigami and Takashi Yamada and Hiroshi Takahashi and Takao Terano",
year = "2016",
doi = "10.1527/tjsai.AG-G",
language = "English",
volume = "31",
journal = "Transactions of the Japanese Society for Artificial Intelligence",
issn = "1346-0714",
publisher = "Japanese Society for Artificial Intelligence",
number = "6",

}

TY - JOUR

T1 - Agent-based simulation analysis on investment behaviors of financial firms related to bankruptcy propagations and financial regulations

AU - Kikuchi, Takamasa

AU - Kunigami, Masaaki

AU - Yamada, Takashi

AU - Takahashi, Hiroshi

AU - Terano, Takao

PY - 2016

Y1 - 2016

N2 - Since systemic risk in recent financial crisis has received attention, a wide variety of studies on how financial regulations should be reformed to control such risk have been progressed. Among these, mathematical and computational studies have analyzed the way how the borrowing and lending banks and the borrowers go bankrupt in the chain via interbanking network. This study deals with a chain of bankruptcies of financial institutions endogenously caused by deterioration of their financial situations from the changes in prices of risky assets by focusing on the macro-level collapse caused by the shock stemming from the general market risk factors addressed in theoretical studies after the crisis in 2008. For this purpose, the authors develop an agent-based simulation platform and then examine how current systemic management regulations affect corresponding bankruptcies. The main findings are as follows: First, pertinent management regulations are dependent on the market environment. Second, some combination of management regulations may increase the possibilities of bankruptcies due to more sensitivity toward the market change.

AB - Since systemic risk in recent financial crisis has received attention, a wide variety of studies on how financial regulations should be reformed to control such risk have been progressed. Among these, mathematical and computational studies have analyzed the way how the borrowing and lending banks and the borrowers go bankrupt in the chain via interbanking network. This study deals with a chain of bankruptcies of financial institutions endogenously caused by deterioration of their financial situations from the changes in prices of risky assets by focusing on the macro-level collapse caused by the shock stemming from the general market risk factors addressed in theoretical studies after the crisis in 2008. For this purpose, the authors develop an agent-based simulation platform and then examine how current systemic management regulations affect corresponding bankruptcies. The main findings are as follows: First, pertinent management regulations are dependent on the market environment. Second, some combination of management regulations may increase the possibilities of bankruptcies due to more sensitivity toward the market change.

KW - Agent-based simulation

KW - Asset liability management

KW - Financial regulations

KW - Systemic risk

UR - http://www.scopus.com/inward/record.url?scp=84994558934&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84994558934&partnerID=8YFLogxK

U2 - 10.1527/tjsai.AG-G

DO - 10.1527/tjsai.AG-G

M3 - Article

VL - 31

JO - Transactions of the Japanese Society for Artificial Intelligence

JF - Transactions of the Japanese Society for Artificial Intelligence

SN - 1346-0714

IS - 6

ER -