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Financial fragility and credit risk: A simulation model
Communications in Nonlinear Science and Numerical Simulation ( IF 3.4 ) Pub Date : 2022-09-16 , DOI: 10.1016/j.cnsns.2022.106879
Alessia Cafferata , Simone Casellina , Simone Landini , Mariacristina Uberti

Financial and economic crises are not always the same. It is important to understand why some episodes of crisis generate prolonged and systemic recessions. Developing the Financial Instability Hypothesis, Hyman Minsky introduced the idea that in periods of stability, financial actors tend to increase their risk exposure, moving from a stable hedge-dominated structure to an unstable one, characterized by speculative and ultra-speculative (Ponzi) financial positions: hence, stability turns out being destabilizing. Starting from the three different relationships introduced by Minsky (income–debt–hedge, speculative and Ponzi) for financial units, we involve a simple partial equilibrium agent-based model in which firms, the banking sector, the real and financial sides of the economy, interact. This theoretic framework is used as computational laboratory to extend the migration rates open system modelling based on the E(ntry)–S(tay)–L(eave) processes by considering the economic system, the business cycle and with attention to so-called zombie-firms.



中文翻译:

金融脆弱性和信用风险:模拟模型

金融和经济危机并不总是相同的。重要的是要了解为什么某些危机事件会导致长期的系统性衰退。海曼·明斯基(Hyman Minsky)提出了金融不稳定假说的观点,即在稳定时期,金融参与者倾向于增加风险敞口,从稳定的以对冲为主的结构转变为以投机和超投机(庞氏)金融为特征的不稳定结构。立场:因此,稳定被证明是不稳定的。从 Minsky 为金融单位引入的三种不同关系(收入-债务-对冲、投机和庞氏)开始,我们涉及一个简单的基于部分均衡代理的模型,其中公司、银行业、经济的实体和金融方面, 相互作用。

更新日期:2022-09-16
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