[2L5-GS-13] AI application: Finance (2)

[2L5-GS-13-02] Impact Analysis of Equity Investment on Chain Bankruptcy Using Inter-bank Network Model

〇Ryo Wakasugi¹, Kiyoshi Izumi¹, Hiroyasu Matsushima¹, Hiroki Sakaji¹ (1. The University of Tokyo)

Keywords:Inter-bank network, Stock market, Chain bankruptcy, Multi agent simulation, Systemic risk

A financial system in which many financial institutions are interconnected to form a complex network structure has a systemic risk that local changes cause a chain bankruptcy. In this study, we analyzed the effects of banks' investment policies and its restrictions on cross-shareholdings with affiliated companies on chain failures in inter-bank networks. In our research, we conducted a simulation experiment using a multi-agent model that simulated the stock markets in which bank agents forming an inter-bank network and other investor agents participated. In our experiment, we set parameters for (1) stock management policy and (2) cross-shareholding, and analyzed the final number of bankruptcy due to them.Through the simulation experiment, results suggested as follows: (1) the risk of chain bankruptcy increases when the number of shares held by each bank is large or when the higher risk management policy is adopted for the shares held. (2) Regarding cross-shareholdings, when both the ratio of banks which hold cross-shareholdings among all banks and the ratio of cross-shareholdings of such banks to the total shares held are large, the risk of chain bankruptcy increases.