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Regulation of Systemic Risk Through Contributory Endogenous Agent-Based Modeling

dc.contributor.advisorFu, Michaelen_US
dc.contributor.advisorBarnes, Seanen_US
dc.contributor.authorBristor, Auroraen_US
dc.description.abstractThe 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.en_US
dc.titleRegulation of Systemic Risk Through Contributory Endogenous Agent-Based Modelingen_US
dc.contributor.publisherDigital Repository at the University of Marylanden_US
dc.contributor.publisherUniversity of Maryland (College Park, Md.)en_US
dc.contributor.departmentApplied Mathematics and Scientific Computationen_US
dc.subject.pqcontrolledPolitical Scienceen_US
dc.subject.pqcontrolledBehavioral sciencesen_US
dc.subject.pquncontrolledAgent-based Modelen_US
dc.subject.pquncontrolledFinancial Regulationen_US
dc.subject.pquncontrolledFinancial Stability Oversight Councilen_US
dc.subject.pquncontrolledOffice of Financial Researchen_US
dc.subject.pquncontrolledSystemic Risken_US

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