Tesi etd-11042019-115433
Link copiato negli appunti
Tipo di tesi
Corsi integrativi di II livello
Autore
COLUCCIA, DAVIDE MARIA
URN
etd-11042019-115433
Titolo
Value-at-Risk and Credit Cycles: an ABM perspective
Struttura
Cl. Sc. Sociali - Scienze Economiche
Corso di studi
SCIENZE ECONOMICHE E MANAGERIALI - Economics (DM 270)
Commissione
Tutor Prof. NUVOLARI, ALESSANDRO
Relatore Prof. ROVENTINI, ANDREA
Presidente Prof. BARONTINI, ROBERTO
Membro Prof. MONETA, ALESSIO
Membro Prof. DI MININ, ALBERTO
Membro Prof. TESTA, FRANCESCO
Relatore Prof. ROVENTINI, ANDREA
Presidente Prof. BARONTINI, ROBERTO
Membro Prof. MONETA, ALESSIO
Membro Prof. DI MININ, ALBERTO
Membro Prof. TESTA, FRANCESCO
Parole chiave
- Agent-Based Computational Economics
- Financial Cycles
- Leverage
- Mark-to-Market
- Value-at-Risk.
Data inizio appello
09/12/2019;
Disponibilità
completa
Riassunto analitico
This essay studies an Agent-Based model that allows to disentangle the complex links between the real and
the financial sides of an economy. We model a financial sector consisting of equity funds and banks. The
former trade in bank equity, while the latter hold marked-to-market balance sheets and undertake Valueat-Risk leverage management. We show that these features convey a strong feedback and transmission
mechanism to the real side of the economy. We are in particular able to conclude that the amplification
dynamics stemming from the pro-cyclical behavior of bank leverage that emerges are related to more volatile
business cycles, and harsher recessions. Furthermore, we show that our model is able to succesfully
replicate a wide array of empirically well-known stylized facts, ranging from macro business cycle facts to
relevant firm dyamics regularities.
the financial sides of an economy. We model a financial sector consisting of equity funds and banks. The
former trade in bank equity, while the latter hold marked-to-market balance sheets and undertake Valueat-Risk leverage management. We show that these features convey a strong feedback and transmission
mechanism to the real side of the economy. We are in particular able to conclude that the amplification
dynamics stemming from the pro-cyclical behavior of bank leverage that emerges are related to more volatile
business cycles, and harsher recessions. Furthermore, we show that our model is able to succesfully
replicate a wide array of empirically well-known stylized facts, ranging from macro business cycle facts to
relevant firm dyamics regularities.
File
| Nome file | Dimensione |
|---|---|
| Tesi_Coluccia.pdf | 5.06 Mb |
Contatta l'autore |
|