ABBA: an Agent-Based Model of the Banking System

Description

ABBA is an agent-based model for analyzing risks in the banking system in which banks’ business decisions drive the endogenous formation of interbank networks. ABBA allows for a rich menu of banks’ decisions, contingent on banks’ balance sheet and capital position, including dividend payment rules, credit expansion, and dynamic balance sheet adjustment via risk-weight optimization. The platform serves to illustrate the effect of changes on regulatory requirements on solvency, liquidity, and interconnectedness risk. It could also constitute a basic building block for further development of large, bottom-up agent-based macro-financial models.

This working paper available from SSRN fully describes the mechanics of the model. The LibreOffice presentation in the other directory presents the model features succintly.

Directory structure

• codes
  Main fully documented NetLogo program. Requires NetLogo 5.2.1, will not run in NetLogo 6.0

• img
  Banner image for respository.

• other
  Auxiliary Matlab m-files that process NetLogo program output.
  LibreOffice presentation.

Contact

If you are interested in further extending and customizing ABBA, or more generally, in cooperative work on ABM models applied in banking and finance, please feel free to contact me at either of these email addresses:

• jchanlauimf@gmail.com
• jchanlau@imf.org