Contagion and risk-sharing on the inter-bank market

Increasing inter-bank lending has an ambiguous impact on financial stability. Two opposing effects have been identified: promoting stability through risk sharing and providing a channel through which contagion may spread. In this paper we identify the conditions under which each relationship holds. In response to large economy-wide shocks, greater numbers of inter-bank lending relationships are shown to worsen systemic events, however, for smaller shocks the opposite effect is observed. As such there is no optimal inter-bank market structure which maximizes stability under all conditions. In contrast, deposit insurance costs are always reduced under greater numbers of inter-bank lending relationships.Keywords: Systemic risk, Inter-bank lending, Contagion, Regulation, Network

An economic model of contagion in interbank lending markets

This paper considers the stability of a financial system in which heterogenous banks interact through a lending market. We analyse a discrete time model in which households and banks are located on a circular city. Households present banks with risky investment opportunities, which banks fund through deposits and interbank borrowing. In the event of bankruptcy, a bank defaults on its interbank loans potentially resulting in contagion and losses for other banks. Through simulation we examine the vulnerability of the financial system to systemic events, demonstrating the non-linear relationship between market concentration, shock severity and bankruptcies. The role and effect of regulatory actions such as reserve requirements, minimum bank capitalisation and constraints on the size of borrowing relationships, are considered in limiting these effects.Systemic risk; Interbank lending; Regulation; Network; Heterogeneity

Who to listen to: Exploiting information quality in a ZIP-agent Market

Market theory is often concerned only with centralised markets. In this paper, we consider a market that is distributed over a network, allowing us to characterise spatially (or temporally) segregated markets. The effect of this modification on the behaviour of a market populated by simple trading agents was examined. It was demonstrated that an agent’s ability to identify the optimum market price is positively correlated with its network connectivity. A better connected agent receives more information and, as a result, is better able to judge the market state. The ZIP trading agent algorithm is modified in light of this result. Simulations reveal that trading agents which take account of the quality of the information that they receive are better able to identify the optimum price within a market

The Strategic Exploitation of Limited Information and Opportunity in Networked Markets

This paper studies the effect of constraining interactions within a market. A model is analysed in which boundedly rational agents trade with and gather information from their neighbours within a trade network. It is demonstrated that a trader’s ability to profit and to identify the equilibrium price is positively correlated with its degree of connectivity within the market. Where traders differ in their number of potential trading partners, well-connected traders are found to benefit from aggressive trading behaviour.Where information propagation is constrained by the topology of the trade network, connectedness affects the nature of the strategies employed

Integrating Segregated Markets

In many cases real markets are segregated to some extent by constraints on who is readily able to trade and communicate with whom. Here we model this kind of segregation within a market constrained by an underlying network topology. We quantify the impact of segregation on market convergence, and explore the extent to which it is redressed by a broadcast mechanism intended to mimic the presence of information sources that are widely consulted, but imperfect, and slow to react to market change

Mejora económica de la empresa Alvimar S.A.C. A partir de la gestión integral de procesos

Trabajo de investigacionNuestra empresa aún no se contempla como una unidad integrada, en el que todas sus actividades, desde los procedimientos que involucran a las venta hasta los recursos humanos, han de tener metas y objetivos comunes, y que el objetivo general ya no corresponde solamente a la alta Dirección, sino que cada uno de los estamentos de la empresa ha de trabajar teniendo en cuenta a los demás. Actualmente brindamos servicios tercerizados, en trabajos de distribución de energía eléctrica en media y baja tensión, bajo ciertas condiciones contractuales; una de las cuales es que LDS, nuestro cliente, son dueños de los materiales que usamos para efectuar el servicio, otra condición, es que se trabaje bajo sus procedimientos operativos los cuales debemos hacerlas nuestras sin haber participado de su elaboración. Al tener estas 2 condiciones como parte de nuestro modelo de negocio, nuestra eficiencia no solo depende de nuestras propias actividades, sino de las actividades y eficiencia del cliente (TECSUR), así, debemos coordinar cada actividad compartida con ellos adecuadamente. Hemos trabajado la tesis “Mejora Económica de la Empresa ALVIMAR S.A.C, a partir de la Gestión Integral de Procesos”, porque nuestra Empresa adolece de una clara planificación de sus procesos operativos, y también es muy evidente el divorcio ejecutivo con los demás procesos, incluyendo el proceso de soporte inclusive el estratégico. De esta manera podemos apreciar actividades operativas, carentes de un adecuado soporte logístico, ya sea en el suministro oportuno de una maquina o herramienta o la compra de un insumo requerido, contamos con personal capacitado, pero no con el perfil que los cargos definidos en el organigrama exigen, al respecto se ha analizado la situación actual, y se han diseñados documentos técnicos para cada puesto de trabajo que tengan injerencia importante en un proceso determinado, en él se definen: posición en el organigrama, su relación con otras áreas, sus roles y responsabilidades, de igual modo hemos detectado los principales problemas y se ha propuesto un modelo de solución que no solo es de aplicación sino de gestión y disciplina. Finalmente se han formulado los procedimientos, que deberán aprobarse en primera instancia y luego implementarse, bajo la supervisión del líder de la Empresa. Dejando en claro además, que la herramienta que instrumente la Gestión Integral de Procesos, será la Planificación, sin la cual, todo esfuerzo por aplicar con éxito el presente trabajo será inútil