UMD Theses and Dissertations

Permanent URI for this collectionhttp://hdl.handle.net/1903/3

New submissions to the thesis/dissertation collections are added automatically as they are received from the Graduate School. Currently, the Graduate School deposits all theses and dissertations from a given semester after the official graduation date. This means that there may be up to a 4 month delay in the appearance of a given thesis/dissertation in DRUM.

More information is available at Theses and Dissertations at University of Maryland Libraries.

Browse

Filters

20131

Settings

Author: search.filters.author.Bristor, AuroraSubject: search.filters.subject.Agent-based Model

Search Results

Now showing 1 - 1 of 1
  • Thumbnail Image
    Item
    Regulation of Systemic Risk Through Contributory Endogenous Agent-Based Modeling
    (2013) Bristor, Aurora; Fu, Michael; Barnes, Sean; Applied Mathematics and Scientific Computation; Digital Repository at the University of Maryland; University of Maryland (College Park, Md.)
    The Financial Stability Oversight Council (FSOC) was created to identify and respond to emerging threats to the stability of the United States financial system. The research arm of the FSOC, the Office of Financial Research (OFR), has begun to explore agent-based models (ABMs) for measuring the emergent threat of systemic risk. We propose an ABM-based regulatory structure that incentivizes the honest participation and data contribution of regulated firms while providing clarity into the actions of the firms as endogenous to the market and driving emergent behavior. We build this scheme onto an existing ABM of a single-asset market to examine whether the structure of the scheme could provide its own benefits to market stabilization. We find that without regulatory intervention, markets acting within this proposed structure experience fewer bankruptcies and lower leverage buildup while returning larger profits for the same amount of risk.