ORCID Identifiers

0000-0002-4317-1809

Document Type

Article

Source of Publication

Banks and Bank Systems

Publication Date

1-1-2018

Abstract

© The author(s) 2019 The recent series of banking crises in the United States and in the Eurozone has resulted in numerous bank failures. In this paper, an agent-based model is employed to test for factors that determine bank viability in times of distress, focusing mainly on the endogenous risk of financial institutions. The authors test for the effects of both management and financial factors on the institutions’ ability to weather the storm during times when the banking system experiences distress. The agent-based simulation process is split into a setup period, when the simulation builds the structural characteristics of each bank, and a testing period, where these characteristics are tested against the final result, which is the bank’s viability. A risk estimation model is built and it is found that the proposed model is successful in predicting whether a particular bank can endure a stress testing situation. The empirical results confirm the relevant literature and put further emphasis on the policy implications regarding banking supervision and regulation, particularly in context of the Eurozone banking union.

ISSN

1816-7403

Publisher

LLC CPC Business Perspectives

Volume

13

Issue

3

First Page

95

Last Page

105

Disciplines

Business

Keywords

Agent-based finance, Bank management, Corporate governance, Endogenous risk

Scopus ID

85063179073

Creative Commons License

Creative Commons Attribution 4.0 License
This work is licensed under a Creative Commons Attribution 4.0 License.

Indexed in Scopus

yes

Open Access

yes

Open Access Type

Gold: This publication is openly available in an open access journal/series

Included in

Business Commons

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