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Tesi etd-11042019-115433

Type of thesis
Corsi integrativi di II livello
Author
COLUCCIA, DAVIDE MARIA
URN
etd-11042019-115433
Title
Value-at-Risk and Credit Cycles: an ABM perspective
Structure
Cl. Sc. Sociali - Scienze Economiche
Course
SCIENZE ECONOMICHE E MANAGERIALI - Economics (DM 270)
Committee
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
Keywords
  • Agent-Based Computational Economics
  • Financial Cycles
  • Leverage
  • Mark-to-Market
  • Value-at-Risk.
Exam session start date
;
Availability
completa
Abstract
This essay studies an Agent-Based model that allows to disentangle the complex links between the real and<br>the financial sides of an economy. We model a financial sector consisting of equity funds and banks. The<br>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<br>mechanism to the real side of the economy. We are in particular able to conclude that the amplification<br>dynamics stemming from the pro-cyclical behavior of bank leverage that emerges are related to more volatile<br>business cycles, and harsher recessions. Furthermore, we show that our model is able to succesfully<br>replicate a wide array of empirically well-known stylized facts, ranging from macro business cycle facts to<br>relevant firm dyamics regularities.
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