Agent-based model of systemic liquidity risk
Speaker:
Grzegorz Halaj, European Central Bank
Date and Time:
Tuesday, June 28, 2016 - 9:45am to 10:30am
Location:
Fields Institute, Room 230
Abstract:
Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a model that focuses on systemic aspects of liquidity describing interactions between market participants in an agent-based fashion. The model is brought to a real financial system dataset.