Agent-based model of the Russian banking system: Calibration for maturity, interest rate spread, credit risk, and capital regulation-Reference-Cited by-同舟云学术

Agent-based model of the Russian banking system: Calibration for maturity, interest rate spread, credit risk, and capital regulation

Published:2020-06-07 Issue:1-2 Volume:15 Page:82-92
ISSN:1747-7778
Container-title:Journal of Simulation
language:en
Short-container-title:Journal of Simulation

Author:

Ermolova Maria¹²,Leonidov Andrey²³,Nechitailo Vladimir²,Penikas Henry¹²⁴,Pilnik Nikolay¹²⁵,Serebryannikova Ekaterina²³^ORCID

Affiliation:

1. Department of Applied Economics, National Research University Higher School of Economics, Moscow, Russia

2. Theoretical Physics Department, P.N.Lebedev Physical Institute, Moscow, Russia

3. School of Applied Mathematics, Moscow Institute of Physics and Technology, Dolgoprudny, Russia

4. Research and Forecasting Department of the Bank of Russia, Bank of Russia, Moscow, Russia

5. Department of Macroeconomics, Financial Research Institute of the Ministry of Finance of the Russian Federation, Moscow, Russia

Funder

Fundamental Research Program of the National Research University Higher School of Economics

Russian Academy of Sciences Presidium program “Fundamental aspects of economic security”

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Software

Link

https://www.tandfonline.com/doi/pdf/10.1080/17477778.2020.1774430

Reference42 articles.

1. Admati, A., DeMarzo, P., Hellwig, M. & Pfleiderer, P. (2013). Fallacies, irrelevant facts, and myths in the discussion of capital regulation: Why bank equity is not socially expensive. Max Planck Institute for Research on Collective Goods 2013/23 Rock Center for Corporate Governance at Stanford University Working Paper No. 161 Stanford University Graduate School of Business Research Paper No. 13-7. https://doi.org/10.2139/ssrn.2349739

2. Banks, market organization, and macroeconomic performance: An agent-based computational analysis

3. The regulator’s trade-off: Bank supervision vs. minimum capital

4. Carney, M. (2020, March 5). The grand unifying theory (and practice) of macroprudential policy. Speech of the Governor of the Bank of England. Bank of England, https://www.bis.org/review/r200306c.pdf

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