Credit risk: An agent-based model of post-credit decision actions and credit losses in banks
2012 (English)In: Journal of Simulation, ISSN 1747-7778, Vol. 6, no 4, 253-266 p.Article in journal (Refereed) Published
The credit crisis in 2007/2008 has increased the focus on bank credit risk. This paper uses an agent-based model (ABM) to investigate the impact of bankers post-credit decision actions on bank credit losses that are induced by lending to corporate clients. The banker agents are modelled according to results obtained from a survey that was distributed to bankers who are permitted to grant credit to firms. The results show that post-credit decision actions have substantial effects on bank credit losses, thus implying that regulators should consider organizational factors as a complement to bank assets when assigning capital requirements to banks. The study also aims to point to a new area of application of ABMs for both researchers and practitioners. Whereas previous research has used ABMs to simulate financial markets, this study suggests that financial organizations could be a vital area of application.
Place, publisher, year, edition, pages
2012. Vol. 6, no 4, 253-266 p.
Agent-based modelling, Banking, Post-credit decision, Risk
Economics and Business
IdentifiersURN: urn:nbn:se:kth:diva-107243DOI: 10.1057/jos.2012.7ISI: 000313763100004ScopusID: 2-s2.0-84868556103OAI: oai:DiVA.org:kth-107243DiVA: diva2:576850
QC 201212142012-12-142012-12-102013-02-21Bibliographically approved