—The succession of financial crisis in last decades
has refocused the debate on banking regulation approach.
Furthermore, recent crisis has highlighted the importance of
“systemic risks” and especially, the leading role of institutions
interconnectedness. In order to better understand how banks
individual decision rules impact interbank market and how
global Central Banks decision could impact individual liquidity
position of institutions this paper provides a method with an
agent-based approach to model interbank market and its
liquidity issues. The agent-based model is marked by a set of
behavioral descriptions related to daily interbank cash flows
and refinancing process composed by two channels: lending,
assets trading and loans selling. Applied to the European
interbank network, different scenarios analyzed how individual
decision rules impact on system’s stability.
—Systemic risk, financial contagion, liquidity
risk, interbank market, agent based model.
I. Lucas and V. Turpyn are with the Financial Engineering Department,
ECE Paris 37 quai de grenelle, Paris, France (e-mail:
N. Schomberg is with the Information System Department, ECE Paris 37
quai de grenelle, Paris, France (e-mail: firstname.lastname@example.org).
Cite: I. Lucas, N. Schomberg, and V. Turpyn, "Agent-Based Approach for Interbank Liquidity Issue," International Journal of Trade, Economics and Finance vol.5, no.5, pp. 401-404, 2014.