New Tools in Credit Network Modeling with Heterogenous Agents

Our goal is to capture systemic risk of the credit market by combining information about the level of fragility of individual economic entities with the network structure of their mutual credit exposures. Specifically, we will look for methods to highlight the detection of preferential (or avoided) relationships among heterogeneous participants (primarily banks and firms) in the credit market as a whole. Our interdisciplinary approach considers heterogeneity as an essential aspect induced by specialization, learning and repeated adaptation. We will perform empirical investigations and we will devise an agent-based model where heterogeneity of the agents is explicitly taken into account. Simulations of the model will evaluate how heterogeneity and network properties affect the robustness and resilience properties of the credit market.

All project members:

Leonardo Bargigli and Mauro Gallegati from the Università Politecnica delle Marche, Ancona, Italy.

Luigi Infante, Giovanni di Iasio, and Federico Pierobon from Banca d'Italia, Rome, Italy.

Giacomo Bormetti, Fabrizio Lillo, and Stefano Marmi from Scuola Normale Superiore, Pisa, Italy.

Rosario Nunzio Mantegna, Salvatore Miccichè, and Michele Tumminello from the Università di Palermo, Palermo, Italy.