论文标题

强化学习政策建议银行网络稳定性

Reinforcement Learning Policy Recommendation for Interbank Network Stability

论文作者

Brini, Alessio, Tedeschi, Gabriele, Tantari, Daniele

论文摘要

在本文中,我们分析了政策建议对人工银行间市场表现的影响。金融机构根据公众建议及其个人信息规定贷款协议。前者以强化学习的最佳政策为模型,该政策最大程度地提高了系统的健康状况,并收集了有关经济环境的信息。政策建议指示经济参与者通过低利率或高流动性供应之间的最佳选择来建立信贷关系。后者基于代理商的资产负债表,允许确定银行最佳向其客户提供市场的流动性供应和利率。由于公共信号与私人信号之间的结合,金融机构通过优先的附件不断发展的程序能够生成动态网络来创建或削减其信用连接。我们的结果表明,核心 - 外围间银行网络的出现,以及贷方和借款人规模的一定程度的同质性,对于确保系统的弹性至关重要。此外,通过加强学习获得的最佳政策建议对于缓解系统风险至关重要。

In this paper, we analyze the effect of a policy recommendation on the performance of an artificial interbank market. Financial institutions stipulate lending agreements following a public recommendation and their individual information. The former is modeled by a reinforcement learning optimal policy that maximizes the system's fitness and gathers information on the economic environment. The policy recommendation directs economic actors to create credit relationships through the optimal choice between a low interest rate or a high liquidity supply. The latter, based on the agents' balance sheet, allows determining the liquidity supply and interest rate that the banks optimally offer their clients within the market. Thanks to the combination between the public and the private signal, financial institutions create or cut their credit connections over time via a preferential attachment evolving procedure able to generate a dynamic network. Our results show that the emergence of a core-periphery interbank network, combined with a certain level of homogeneity in the size of lenders and borrowers, is essential to ensure the system's resilience. Moreover, the optimal policy recommendation obtained through reinforcement learning is crucial in mitigating systemic risk.

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