We present a new framework for the analysis of financial networks, called Actor-based Reactive Systems (ARS), that pushes further the Agent-Based approach (ABM) by resorting to ideas coming from the study of distributed systems in computer science. Two distinctive features, namely a fundamentally different management of time and a fully decentralized control logic, have a profound impact in terms of expressiveness of analysis, flexibility of modeling, and efficiency of experimentation. To illustrate the feasibility of the framework, we develop a realistic case study by analyzing the systemic risk of a model of the European banking network with a nontrivial contagion procedure, that combines an initial asset shock with the negative feedback loop triggered by asset fire sales. We show that, compared to ABMs, ARSs bring about finer-grained analyses, with a greater degree of heterogeneity and adaptivity of economic agents. Moreover, the very low computational cost and the detailed account of the system’s execution support the design and the development of very flexible stress tests to rapidly experiment with many hypothetical scenarios in a test-oriented style.

我们提出了一个新的金融网络分析框架，称为基于参与者的反应系统（ARS），该框架通过诉诸于计算机科学中的分布式系统的研究，进一步推动了基于代理的方法（ABM）。两个截然不同的功能，即根本上不同的时间管理和完全分散的控制逻辑，对分析的表达能力，建模的灵活性和实验的效率产生了深远的影响。为了说明该框架的可行性，我们通过分析具有非传染性程序的欧洲银行网络模型的系统风险，开发了一个现实的案例研究，该程序将初始资产冲击与由资产大卖出触发的负反馈回路结合在一起。我们证明，与ABM相比，ARS带来了更细粒度的分析，具有更大程度的经济主体异质性和适应性。此外，非常低的计算成本和对系统执行的详细说明，支持设计和开发非常灵活的压力测试，从而可以以面向测试的方式对许多假设的场景进行快速实验。