Agent-based model of the Russian banking system: Calibration for maturity, interest rate spread, credit risk, and capital regulation.
Maria ErmolovaAndrey LeonidovVladimir NechitailoHenry PenikasNikolay PilnikEkaterina SerebryannikovaPublished in: J. Simulation (2021)
Keyphrases
- credit risk
- commercial banks
- agent based models
- credit risk evaluation
- risk analysis
- evaluation method
- risk management
- credit scoring
- financial markets
- financial data
- fraud detection
- complex systems
- credit card
- exchange rate
- logistic regression
- multi agent
- information systems
- evaluation model
- non stationary
- reinforcement learning