BSDS—Balance Sheet Dynamics Simulator (Application ABM)

Volker Liermann () and Harro Dittmar
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Volker Liermann: ifb SE
Harro Dittmar: ifb SE

A chapter in The Digital Journey of Banking and Insurance, Volume I, 2021, pp 137-159 from Springer

Abstract: Abstract Disrupting events like COVID-19, climate change or new competitors (e.g., GAFAM) can permanently change the structure of a bank’s balance sheet and the bank’s risk profile. Agent-based modeling (ABM) is a versatile, interdisciplinary bottom-up approach that can be used to consider such effects in dynamic simulations of the balance sheet development. The authors present a concept for an agent-based model that simulates the effects of macroeconomic scenarios and competitive boundaries on the balance sheet dynamics of banks. An implementation of such a model could be used to explore stylized balance sheet developments over time and thereby provide a valuable planning tool for qualitative and quantitative risk management.

Keywords: Balance sheet; Agent-based modeling; ABM; Balance sheet dynamics; Balance sheet development; Credit risk (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-78814-8_9

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DOI: 10.1007/978-3-030-78814-8_9

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