The OFR released a working paper today entitled, "Interbank Contagion: An Agent-based Model Approach to Endogenously Formed Networks." The authors create an agent-based model that can help regulators understand risk in the interbank funding market. Tests of the model against actual bank failures before, during, and after the 2007-09 financial crisis suggest that the market has become more resilient to asset write-downs and liquidity shocks. The model uses balance sheet data from more than 6,600 U.S. banks.
The paper is posted on the OFR website at: https://www.financialresearch.gov/working-papers/.
The OFR home page is at: https://www.financialresearch.gov/.
