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Agent Simulation of Chain Bankruptcy

Author

Listed:
  • Yuichi Ikeda
  • Yoshi Fujiwara
  • Wataru Souma
  • Hideaki Aoyama
  • Hiroshi Iyetomi

Abstract

We have conducted an agent-based simulation of chain bankruptcy. The propagation of credit risk on a network, i.e., chain bankruptcy, is the key to nderstanding largesized bankruptcies. In our model, decrease of revenue by the loss of accounts payable is modeled by an interaction term, and bankruptcy is defined as a capital deficit. Model parameters were estimated using financial data for 1,077 listed Japanese firms. Simulations of chain bankruptcy on the real transaction network consisting of those 1,077 firms were made with the estimated model parameters. Given an initial bankrupt firm, a list of chain bankrupt firms was obtained. This model can be used to detect high-risk links in a transaction network, for the management of chain bankruptcy.

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  • Yuichi Ikeda & Yoshi Fujiwara & Wataru Souma & Hideaki Aoyama & Hiroshi Iyetomi, 2007. "Agent Simulation of Chain Bankruptcy," Papers 0709.4355, arXiv.org.
    • Handle: RePEc:arx:papers:0709.4355
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    Cited by:

    1. Pawe{l} Sieczka & Didier Sornette & Janusz A. Ho{l}yst, 2010. "The Lehman Brothers Effect and Bankruptcy Cascades," Papers 1002.1070, arXiv.org, revised Sep 2011.
    2. P. Sieczka & D. Sornette & J. Holyst, 2011. "The Lehman Brothers effect and bankruptcy cascades," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 82(3), pages 257-269, August.

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