Change search
ReferencesLink to record
Permanent link

Direct link
Credit risk: An agent-based model of post-credit decision actions and credit losses in banks
KTH, School of Industrial Engineering and Management (ITM), Industrial Economics and Management (Dept.), Management Control. KTH, School of Architecture and the Built Environment (ABE), Centres, Centre for Banking and Finance, Cefin.
2012 (English)In: Journal of Simulation, ISSN 1747-7778, Vol. 6, no 4, 253-266 p.Article in journal (Refereed) Published
Abstract [en]

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.
Keyword [en]
Agent-based modelling, Banking, Post-credit decision, Risk
National Category
Economics and Business
URN: urn:nbn:se:kth:diva-107243DOI: 10.1057/jos.2012.7ISI: 000313763100004ScopusID: 2-s2.0-84868556103OAI: diva2:576850

QC 20121214

Available from: 2012-12-14 Created: 2012-12-10 Last updated: 2013-02-21Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full textScopus

Search in DiVA

By author/editor
Jonsson, Sara
By organisation
Management ControlCentre for Banking and Finance, Cefin
Economics and Business

Search outside of DiVA

GoogleGoogle Scholar
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Altmetric score

Total: 90 hits
ReferencesLink to record
Permanent link

Direct link