Warianty tytułu
The Role of Risk and Uncertainty Perception in Systemic Risk Assessment : the Agent-based Simulation
Języki publikacji
Abstrakty
Przedmiotem rozważań w artykule jest rola percepcji ryzyka i niepewności w kształtowaniu się ryzyka systemowego. Autorzy zwracają uwagę na czynniki wpływające na sposób postrzegania ryzyka przez instytucje finansowe ("percepcję ryzyka") oraz na tworzenie się wyobrażeń, jakie mogą mieć instytucje finansowe o tym, w jaki sposób są postrzegane przez inne podmioty finansowe i gospodarcze ("percepcja percepcji niepewności"). Podstawę analizy stanowią symulacje wieloagentowe decyzji uczestników procedury fixingu oraz transakcji na rynku międzybankowym. Model jest częścią projektu umożliwiającego modelowanie zależności między sektorem realnym a finansowym. Opracowany model rynku międzybankowego umożliwia ocenę ryzyka systemowego w Polsce w warunkach określonych w scenariuszu kontrfaktycznym. W artykule przedstawiono wyniki symulacji wycofania części depozytów z polskiego sektora finansowego przy wzroście niepewności na rynkach. Wyniki pozwalają potwierdzić tezę o szczególnej roli subiektywnego prawdopodobieństwa wystąpienia wydarzenia o znaczeniu systemowym oraz zaufania do stabilności sektora finansowego w kształtowaniu się ryzyka systemowego, tzn. w generowaniu podatnej na kryzysy struktury systemu oraz amplifikacji szoków zewnętrznych. Potwierdzona została również zasadność prowadzenia badań nad percepcją ryzyka systemowego w Polsce, analogicznych do badań ankietowych prowadzonych w Wielkiej Brytanii przez BoE. (abstrakt oryginalny)
This article addresses the role of risk perception and uncertainty in the generation and amplification of systemic risk. The article highlights the factors that influence how financial institutions perceive risk ("perception of risk") and how financial institutions, in turn, imagine themselves to be perceived by other financial and business entities ("perception of uncertainty"). The analysis is based on agent-based simulations of decisions by participants in the fixing procedure and transactions on the interbank market. This model is a part of a broader project that aims to model the relationship between the economy and the financial sector. The developed model of the interbank market enables the assessment of systemic risk in Poland under the conditions specified in the counterfactual scenarios. The paper presents the results of a simulation of withdrawal of deposits from Polish banks when market uncertainty increases. The results confirm that the subjective probability of occurrence of a systemic event as well as the confidence in financial stability play a crucial role in the generation and amplification of systemic risk. The perception of risk and uncertainty may affect the resilience of the system. That perception may also make the structure of the financial system more vulnerable to external shocks. The relevance of research on systemic risk perception in Poland, similar to a survey conducted in the United Kingdom by the Bank of England, was also confirmed. (original abstract)
Twórcy
autor
- Uniwersytet Ekonomiczny w Krakowie, doktorantka
autor
- Instytut Analiz Ekonomicznych i Społecznych, Madryt
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