Date of Award
Doctor of Philosophy (PhD)
Computational Engineering and Science
Matheus R. Grasselli
The aim of this thesis is to study the role of banking in society and the effect of the
interbank market on the performance of the banking system.
It starts by reviewing
several studies conducted on empirical banking networks and highlighting their salient
features in the context of modern network theory. A simulated network resembling the
characteristics documented in the empirical studies is then built and its resilience is
analyzed with a particular emphasis in documenting the crucial role played by highly
It is our belief that the study of systemic risk and contagion in a banking system
is an integral part to the study of the economic role of banks themselves. Thus the
current work focuses on the fundamentals of banking and aims at identifying the
necessary drivers for a dynamical setup of the interbank market.
Through an agent–based model, we address the issues of bank formation, bank runs
and the emergence of an interbank market. Starting with heterogeneous individuals,
bank formation is viewed as an emergent phenomenon arising to meet the needs for
investment opportunities in face of uncertain liquidity preferences. When banks work
in isolation (no interbank market), in the long run and through a long experience with
bank failures, banking turns into a monopoly or a market with few players.
By equipping banks with their own learning tools and allowing an interbank market
to develop, fewer bank failures and a less concentrated banking system are witnessed.
In addition, through a scenario analysis, it is demonstrated that allowing banks to
interact does not weaken the banking system in almost all the cases, and improves
the performance on multiple occasions.
The work is concluded by studying the effects of a banking system on individuals
and the economy in what is called social measures. We establish that the effects
of banking on social measures such as consumption level, consumption inequality
between individuals, long term investment and economic waste, varies significantly
based on the structure of the society.
Ismail, Omneia R.H., "AN AGENT–BASED COMPUTATIONAL MODEL FOR BANK FORMATION AND INTERBANK NETWORKS" (2012). Open Access Dissertations and Theses. Paper 7286.
McMaster University Library