FinSim: A Framework for Modeling Financial System Interdependencies
Alexander Outkin (Los Alamos National Laboratory, USA), Silvio Flaim (Los Alamos National Laboratory, USA), Andy Seirp (Los Alamos National Laboratory, USA) and Julia Gavrilov (Los Alamos National Laboratory, USA)
Copyright: © 2008
We present in this chapter an overview of a financial system model (FinSim) created by the authors at the Los Alamos National Laboratory. The purpose of this model is to understand the impacts of external disruptions to the financial system, in particular disruptions to telecommunication networks and electric power systems; and to model how those impacts are affected by the interactions between different components of the financial system, e.g. markets and payment systems, and by individual agents actions and regulatory interventions. We use agent-based modeling to represent the interactions within the financial system and the decision-making processes of banks and traders. We model explicitly message-passing necessary for execution of financial transactions, which allows a realistic representation of the financial system dependency on telecommunications. We describe implementation of the payment system, securities market and liquidity market components; and present a sample telecommunications disruption scenario and its preliminary results.