Banking Systems Simulation

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Banking Systems Simulation

Author : Stefano Zedda
Publisher : John Wiley & Sons
ISBN 13 : 1119195896
Total Pages : 262 pages
Book Rating : 4.1/5 (191 download)

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Book Synopsis Banking Systems Simulation by : Stefano Zedda

Download or read book Banking Systems Simulation written by Stefano Zedda and published by John Wiley & Sons. This book was released on 2017-04-03 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents information sources and methodologies for modeling and simulating banking system stability Combining both academic and institutional knowledge and experience, Banking Systems Simulation: Theory, Practice, and Application of Modeling Shocks, Losses, and Contagion presents banking system risk modeling clearly within a theoretical framework. Written from the global financial perspective, the book explores single bank risk, common bank exposures, and contagion, and how these apply on a systemic level. Zedda approaches these simulation methods logically by providing the basic building blocks of modeling and simulation, and then delving further into the individual techniques that make up a systems model. In addition, the author provides clear and detailed explanations of the foundational research into the mathematical and legal concepts used to analyze banking risk problems, measures and data for representing the main banking risk sources, and the major problems researchers are likely to encounter. There are numerous software descriptions throughout, with references and tools to help readers gain a proper understanding of the presented techniques and possibly develop new applications and research. The book concludes with an appendix that features real-world datasets and models. In addition, this book: • Provides a comprehensive overview of methods for analyzing models and simulating risk for banking and financial systems • Provides a clear presentation of the technical and legal concepts used in banking regulation • Presents unique insights from an expert’s perspective, with specific coverage of assessing risks and developing what-if analyses at the systems level • Concludes with a discussion of applications, including banking systems regulation what-if tests, cost-benefit analysis, evaluations of banking systems stability effects on public finances, dimensioning, and risk-based contributions for Deposit Guarantee Schemes (DGS) and Resolution Funds Banking Systems Simulation: Theory, Practice, and Application of Modeling Shocks, Losses, and Contagion is ideal for banking researchers focusing on computational methods of analysis as well as an appropriate reference for graduate-level students in banking, finance, and computational methods. Stefano Zedda is Researcher in Financial Mathematics at the University of Cagliari in Italy and qualified as associate professor in banking and corporate finance. His research is mainly focused on quantitative analyses for banking and finance, with a particular focus on banking systems modeling and simulation. In 2008, Zedda developed the mathematical modeling and software implementation of the Systemic Model for Banking Originated Losses (SYMBOL), further developed during his activity at the European Commission. The Commission subsequently adopted it as a standard tool for testing banking regulation proposals. Stefano Zedda’s research interests include banking, financial mathematics, and statistics, specifically simulation of banking and financial systems stability, banking regulation impact assessment, and interactive agent simulation.

Banking Systems Simulation

Author : Stefano Zedda
Publisher : John Wiley & Sons
ISBN 13 : 1119195918
Total Pages : 272 pages
Book Rating : 4.1/5 (191 download)

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Book Synopsis Banking Systems Simulation by : Stefano Zedda

Download or read book Banking Systems Simulation written by Stefano Zedda and published by John Wiley & Sons. This book was released on 2017-03-16 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents information sources and methodologies for modeling and simulating banking system stability Combining both academic and institutional knowledge and experience, Banking Systems Simulation: Theory, Practice, and Application of Modeling Shocks, Losses, and Contagion presents banking system risk modeling clearly within a theoretical framework. Written from the global financial perspective, the book explores single bank risk, common bank exposures, and contagion, and how these apply on a systemic level. Zedda approaches these simulation methods logically by providing the basic building blocks of modeling and simulation, and then delving further into the individual techniques that make up a systems model. In addition, the author provides clear and detailed explanations of the foundational research into the mathematical and legal concepts used to analyze banking risk problems, measures and data for representing the main banking risk sources, and the major problems researchers are likely to encounter. There are numerous software descriptions throughout, with references and tools to help readers gain a proper understanding of the presented techniques and possibly develop new applications and research. The book concludes with an appendix that features real-world datasets and models. In addition, this book: • Provides a comprehensive overview of methods for analyzing models and simulating risk for banking and financial systems • Provides a clear presentation of the technical and legal concepts used in banking regulation • Presents unique insights from an expert’s perspective, with specific coverage of assessing risks and developing what-if analyses at the systems level • Concludes with a discussion of applications, including banking systems regulation what-if tests, cost-benefit analysis, evaluations of banking systems stability effects on public finances, dimensioning, and risk-based contributions for Deposit Guarantee Schemes (DGS) and Resolution Funds Banking Systems Simulation: Theory, Practice, and Application of Modeling Shocks, Losses, and Contagion is ideal for banking researchers focusing on computational methods of analysis as well as an appropriate reference for graduate-level students in banking, finance, and computational methods. Stefano Zedda is Researcher in Financial Mathematics at the University of Cagliari in Italy and qualified as associate professor in banking and corporate finance. His research is mainly focused on quantitative analyses for banking and finance, with a particular focus on banking systems modeling and simulation. In 2008, Zedda developed the mathematical modeling and software implementation of the Systemic Model for Banking Originated Losses (SYMBOL), further developed during his activity at the European Commission. The Commission subsequently adopted it as a standard tool for testing banking regulation proposals. Stefano Zedda’s research interests include banking, financial mathematics, and statistics, specifically simulation of banking and financial systems stability, banking regulation impact assessment, and interactive agent simulation.

Numerical Simulation of Defaults in Large Banking Systems

Author : Elena Cristina Canepa
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (144 download)

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Book Synopsis Numerical Simulation of Defaults in Large Banking Systems by : Elena Cristina Canepa

Download or read book Numerical Simulation of Defaults in Large Banking Systems written by Elena Cristina Canepa and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

A Numerical Simulation Approach to Study Systemic Risk in Banking Systems

Author : Arturo Cifuentes
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis A Numerical Simulation Approach to Study Systemic Risk in Banking Systems by : Arturo Cifuentes

Download or read book A Numerical Simulation Approach to Study Systemic Risk in Banking Systems written by Arturo Cifuentes and published by . This book was released on 2016 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Banking systems are at the center of the financial infrastructure of any country. It has become apparent after the subprime crisis that such systems cannot be studied by looking at their components individually (that is, in isolation). Thus, an integrated approach is needed.In this paper we introduce a numerically friendly, yet general, algorithm that allows us to represent a banking system in a realistic way. We start with a detailed description of the banks' balance sheets and we incorporate two different features to account for connectivity effects: interbank loans and correlated-exposures to a common universe of credit-risk loans. The driving force behind the model is the progressive deterioration of the loan portfolios to which the banks are exposed. This method is useful to identify the weaknesses of a given banking system, and it is also helpful to assess the merits of different potential responses from the regulator's viewpoint. An example based on the banking system of a Latin American country is used to demonstrate the merits of this approach.Some of our findings are in agreement with those of previous authors, namely, that the probability of developing cascades is proportional to the degree of connectivity of the banking networks, and that the maximum resilience for a given set on banks is achieved for some "intermediate" (optimal?) level of connectivity. However, we also find -- in contrast with a few earlier researchers -- that investigating the features of a banking system by collapsing banks individually (and keeping other features unaltered) can give a misleading view of the system resilience.

Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR

Author : Mr.Dale F. Gray
Publisher : International Monetary Fund
ISBN 13 : 1484322185
Total Pages : 62 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR by : Mr.Dale F. Gray

Download or read book Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR written by Mr.Dale F. Gray and published by International Monetary Fund. This book was released on 2013-10-23 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 European countries and the United States. It is an integrated macroeconomic systemic risk model framework that draws on the advantages of forward-looking contingent claims analysis (CCA) risk indicators for the banking systems in each country, forward-looking CCA risk indicators for sovereigns, and a GVAR model to combine the banking, the sovereign, and the macro sphere. The CCA indicators capture the nonlinearity of changes in bank assets, equity capital, credit spreads, and default probabilities. They capture the expected losses, spreads and default probability for sovereigns. Key to the framework is that sovereign credit spreads, banking system credit risk, corporate sector credit risk, economic growth, and credit variables are combined in a fully endogenous setting. Upon estimation and calibration of the global model, we simulate various negative and positive shock scenarios, particularly to bank and sovereign risk. The goal is to use this framework to analyze the impact and spillover of shocks and to help identify policies that would mitigate banking system, sovereign credit risk and recession risk—policies including bank capital increases, purchase of sovereign debt, and guarantees.

Security First Bank Simulation

Author : Patsy Hall Sargent
Publisher : South Western Educational Publishing
ISBN 13 : 9780538431873
Total Pages : 0 pages
Book Rating : 4.4/5 (318 download)

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Book Synopsis Security First Bank Simulation by : Patsy Hall Sargent

Download or read book Security First Bank Simulation written by Patsy Hall Sargent and published by South Western Educational Publishing. This book was released on 2001-10 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Acquaints students with the banking processes and the proper use of bank facilities and services.

Financial Models and Simulation

Author : D. Chorafas
Publisher : Springer
ISBN 13 : 0230374832
Total Pages : 371 pages
Book Rating : 4.2/5 (33 download)

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Book Synopsis Financial Models and Simulation by : D. Chorafas

Download or read book Financial Models and Simulation written by D. Chorafas and published by Springer. This book was released on 1995-05-17 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial analysis, modellng, simulation and knowledge engineering have become essential to the survival of every enterprise. This thorough and comprehensive book looks at the development and use of financial models for analysis and decision-making, showing the reader how to apply these methods in his or her own work.

Simulating Retail Banking for Banking Students

Author : Mahadevan Supramaniam
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (16 download)

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Book Synopsis Simulating Retail Banking for Banking Students by : Mahadevan Supramaniam

Download or read book Simulating Retail Banking for Banking Students written by Mahadevan Supramaniam and published by . This book was released on 2009 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this study was to examine the implementation flow and development of retail bank management simulation based training system which could provide a comprehensive knowledge about the operations and management of banks for the banking students. The prototype of a Retail banking simulation based training system was developed based on Waterfall model. The research is also about developing a prototype for the simulation based training system and understanding the implementation flow based on a methodology referred as waterfall model. The waterfall model is a sequential development process, in which development is seen as flowing steadily downwards through the phases of Analysis, Design (validation), Implementation, Testing and Integration and Maintenance. During the testing and integration phase, evaluation was done to validate Bank Management Training Simulation system. The prototype was modeled as a client server system. It was developed through Active Server Pages (ASP) server scripting environment and MySQL Server was used to set up the web database for the system. Retail Bank Management Simulation Training system involves the participation of an instructor and a group of participants to initiate a training session. The evaluation was done by twenty-four banking students from a total of six different universities. The evaluation process involves six important aspects in evaluating the usefulness of Retail bank management simulation (RBMS) training system as a training module and to evaluate the user participation in using the system. The variables were measured by using a rating based structured questionnaire. The questionnaires contain a rating scale from 1 to 4 as shown below. Results indicate that 62.7% of the participants have evaluated the content to be excellent. Results show that the majority of the participants of Retail Bank Management simulation (RBMS) training system prefer to have a practical and experienced learning approach especially on the banking industry. It is recommended that additional features such as automated analysis and business intelligence to be incorporated into the system to guide the participants in decision making. (Contains 1 table and 3 figures.).

Simulation of Online Banking System for Wireless Devices

Author : Rajesh U. Singh
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (948 download)

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Book Synopsis Simulation of Online Banking System for Wireless Devices by : Rajesh U. Singh

Download or read book Simulation of Online Banking System for Wireless Devices written by Rajesh U. Singh and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

An Agent-based Network Simulation Model for Comprehensive Stress Testing and Understanding Systemic Risk

Author : Christopher J. Pickett
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (15 download)

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Book Synopsis An Agent-based Network Simulation Model for Comprehensive Stress Testing and Understanding Systemic Risk by : Christopher J. Pickett

Download or read book An Agent-based Network Simulation Model for Comprehensive Stress Testing and Understanding Systemic Risk written by Christopher J. Pickett and published by . This book was released on 2014 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops an agent-based network simulation model that measures systemic risk in the U.S. banking system. It is shown that ultimate losses to a bank after an initial shock to the system is greater than the direct loss they would expect to face. Using actual balance sheet data and simulating over randomly-generated interbank networks, the model captures the feedback effects that arise from a shock to the highly connected and interdependent system. In addition to capturing these "extra'' losses that arise from bank interactions over several periods, this framework measures the different channels through which the initial risk propagates, amplifies, and transforms. The model is then employed in Monte Carlo simulations for stress tests, which are analyzed from both the perspective of a bank risk manager and a regulator. It is also implemented in a Value-at-Risk framework to demonstrate its potential to inform existing VaR models employed by banks. An important feature of the banking system that is often omitted in related models is collateral underlying the majority of interbank transactions. It is included in this model, and simulations reveal that as much as 30% of total losses due to an asset shock are due to strains in the collateralized interbank debt/repo market. The regulator stress tests highlight the extra risk faced by banks heavily involved in the securities and interbank markets. A wide variety of different scenarios can be tested in this framework, and by collecting detailed information throughout the simulation, the composition of systemic risk and its evolution through the system can be analyzed in different ways.

Discrete-event System Simulation

Author : Jerry Banks
Publisher : Prentice Hall
ISBN 13 : 0136062121
Total Pages : 641 pages
Book Rating : 4.1/5 (36 download)

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Book Synopsis Discrete-event System Simulation by : Jerry Banks

Download or read book Discrete-event System Simulation written by Jerry Banks and published by Prentice Hall. This book was released on 2010 with total page 641 pages. Available in PDF, EPUB and Kindle. Book excerpt: For junior- and senior-level simulation courses in engineering, business, or computer science. While most books on simulation focus on particular software tools, Discrete Event System Simulation examines the principles of modeling and analysis that translate to all such tools. This language-independent text explains the basic aspects of the technology, including the proper collection and analysis of data, the use of analytic techniques, verification and validation of models, and designing simulation experiments.

Simulation in Computational Finance and Economics: Tools and Emerging Applications

Author : Alexandrova-Kabadjova, Biliana
Publisher : IGI Global
ISBN 13 : 1466620129
Total Pages : 459 pages
Book Rating : 4.4/5 (666 download)

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Book Synopsis Simulation in Computational Finance and Economics: Tools and Emerging Applications by : Alexandrova-Kabadjova, Biliana

Download or read book Simulation in Computational Finance and Economics: Tools and Emerging Applications written by Alexandrova-Kabadjova, Biliana and published by IGI Global. This book was released on 2012-08-31 with total page 459 pages. Available in PDF, EPUB and Kindle. Book excerpt: Simulation has become a tool difficult to substitute in many scientific areas like manufacturing, medicine, telecommunications, games, etc. Finance is one of such areas where simulation is a commonly used tool; for example, we can find Monte Carlo simulation in many financial applications like market risk analysis, portfolio optimization, credit risk related applications, etc. Simulation in Computational Finance and Economics: Tools and Emerging Applications presents a thorough collection of works, covering several rich and highly productive areas of research including Risk Management, Agent-Based Simulation, and Payment Methods and Systems, topics that have found new motivations after the strong recession experienced in the last few years. Despite the fact that simulation is widely accepted as a prominent tool, dealing with a simulation-based project requires specific management abilities of the researchers. Economic researchers will find an excellent reference to introduce them to the computational simulation models. The works presented in this book can be used as an inspiration for economic researchers interested in creating their own computational models in their respective fields.

ABBA: An Agent-Based Model of the Banking System

Author : Mr.Jorge A Chan-Lau
Publisher : International Monetary Fund
ISBN 13 : 1484300688
Total Pages : 33 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis ABBA: An Agent-Based Model of the Banking System by : Mr.Jorge A Chan-Lau

Download or read book ABBA: An Agent-Based Model of the Banking System written by Mr.Jorge A Chan-Lau and published by International Monetary Fund. This book was released on 2017-06-09 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: A thorough analysis of risks in the banking system requires incorporating banks’ inherent heterogeneity and adaptive behavior in response to shocks and changes in business conditions and the regulatory environment. ABBA is an agent-based model for analyzing risks in the banking system in which banks’ business decisions drive the endogenous formation of interbank networks. ABBA allows for a rich menu of banks’ decisions, contingent on banks’ balance sheet and capital position, including dividend payment rules, credit expansion, and dynamic balance sheet adjustment via risk-weight optimization. The platform serves to illustrate the effect of changes on regulatory requirements on solvency, liquidity, and interconnectedness risk. It could also constitute a basic building block for further development of large, bottom-up agent-based macro-financial models.

Expert Systems in Banking

Author : Dimitris N Chorafas
Publisher : Springer
ISBN 13 : 1349113689
Total Pages : 397 pages
Book Rating : 4.3/5 (491 download)

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Book Synopsis Expert Systems in Banking by : Dimitris N Chorafas

Download or read book Expert Systems in Banking written by Dimitris N Chorafas and published by Springer. This book was released on 2016-07-27 with total page 397 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the reader with a complete and comprehensive picture of what is happening today in banks and other financial institutions in terms of expert systems implementation. In addition it helps in refining the reader's thoughts on how to build an environment for the successful implementation of expert systems in banking - and how to sell this concept to management including risks and opportunities.

Liquidity, Risks and Speed in Payment and Settlement Systems

Author : Harry Leinonen
Publisher :
ISBN 13 :
Total Pages : 364 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis Liquidity, Risks and Speed in Payment and Settlement Systems by : Harry Leinonen

Download or read book Liquidity, Risks and Speed in Payment and Settlement Systems written by Harry Leinonen and published by . This book was released on 2005 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tiivistelmä.

A Simulation Model for Financial Programming

Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1451920903
Total Pages : 60 pages
Book Rating : 4.4/5 (519 download)

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Book Synopsis A Simulation Model for Financial Programming by : International Monetary Fund

Download or read book A Simulation Model for Financial Programming written by International Monetary Fund and published by International Monetary Fund. This book was released on 1989-03-27 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper describes a simulation model that can serve as a basis for a developing country growth-oriented adjustment program. The model has been designed to provide explicit links between fiscal, monetary and exchange rate policies and major macroeconomic variables. While the model is applied to and solved for the case of Turkey, its simplicity and flexibility make it sufficiently general to be applicable to a wide range of countries. The model integrates demand-determined output with a supply side that responds to policies which affect investment and it allows the relative shares of domestic and foreign factors of production to be determined by their relative prices. The model is solved using Lotus 1-2-3, software that is familiar to Fund economists and which allows the user to quickly evaluate alternative assumptions and policies.

Handbook of Simulation

Author : Jerry Banks
Publisher : John Wiley & Sons
ISBN 13 : 9780471134039
Total Pages : 868 pages
Book Rating : 4.1/5 (34 download)

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Book Synopsis Handbook of Simulation by : Jerry Banks

Download or read book Handbook of Simulation written by Jerry Banks and published by John Wiley & Sons. This book was released on 1998-09-14 with total page 868 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dieses Buch ist eine unschätzbare Informationsquelle für alle Ingenieure, Designer, Manager und Techniker bei Entwicklung, Studium und Anwendung einer großen Vielzahl von Simulationstechniken. Es vereint die Arbeit internationaler Simulationsexperten aus Industrie und Forschung. Alle Aspekte der Simulation werden in diesem umfangreichen Nachschlagewerk abgedeckt. Der Leser wird vertraut gemacht mit den verschiedenen Techniken von Industriesimulationen sowie mit Einsatz, Anwendungen und Entwicklungen. Neueste Fortschritte wie z.B. objektorientierte Programmierung werden ebenso behandelt wie Richtlinien für den erfolgreichen Umgang mit simulationsgestützten Prozessen. Auch gibt es eine Liste mit den wichtigsten Vertriebs- und Zulieferadressen. (10/98)